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Paper eres2017_337:
Spatial and Temporal House Price Diffusion in theNetherlands: A Bayesian Network Approach

id eres2017_337
authors Teye, Alfred Larm; Daniel Felix Ahelegbey
year 2017
title Spatial and Temporal House Price Diffusion in theNetherlands: A Bayesian Network Approach
source 24th Annual European Real Estate Society Conference in Delft, Netherlands
summary Following the 2007-08 Global Financial Crisis, there has been a growing research interest onthe spatial interrelationships between house prices in many countries. This paper examines the spatio-temporal relationship between house prices in the twelve provinces of the Netherlands using a recently proposed econometric modelling technique called the Bayesian Graphical Vector Autoregression (BG-VAR). This network approach is suitable for analysing the complex spatial interactions between house prices. It enables a data-driven identification of the most dominant provinces where temporal house price shocks may largely diffuse through the housing market. Using temporal house price volatilities for owner-occupied dwellings from 1995Q1 to 2016Q1, the results show evidence of temporal dependence and house price diffusion patterns in distinct sub-periods from different provincial housing sub-markets in the Netherlands. In particular, the results indicate that Noord-Holland was most predominant from 1995Q1 to 2005Q2, while Drenthe became most central in the period 2005Q32016Q1
keywords Graphical models; Spillover effect; House price diffusion; The Netherlands; Spatial dependence
series ERES:conference
type paper session
discussion No discussions. Post discussion ...
session Urban & Regional Economics, markets & Planning
last changed 2017/11/18 16:20
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