Abstract
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.
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Notes
LeSage and Pace (2009) stress that a more valid parameter interpretation of spatial econometric models involves decomposing impacts into direct and indirect effects using partial derivatives approach because standard point estimates approach may lead to erroneous conclusion. Recently, dynamic spatial econometric models received much attention in the literature, see, for instance, Elhorst (2014), Halleck Vega and Elhorst (2014), and Debarsy et al. (2012).
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Abate, G.D. Spatio-temporal dynamics of house prices in the USA. Lett Spat Resour Sci 10, 141–147 (2017). https://doi.org/10.1007/s12076-016-0177-3
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DOI: https://doi.org/10.1007/s12076-016-0177-3