Spatio-temporal dynamics of house prices in the USA
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This study examines the space-time dynamics of real house prices and macroeconomic fundamentals such as real per capita disposable income and interest rate across 373 metropolitan areas in the US during 1976–2011. The estimation results of the dynamic spatial Durbin model show significant spatial spillover effects indicating that macroeconomic fundamentals of neighboring metropolitan areas play important role in real house price determination. The time varying version of the dynamic model also indicates an increasing spatial correlation in house price and income interactions over the sample period.
KeywordsDynamic spatial model Real house prices Real per capita disposable income Time varying spatial model
JEL ClassificationC21 C23
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