Go to:
Logótipo
Comuta visibilidade da coluna esquerda
Você está em: Start > Publications > View > House price dynamics in Iberian Metropolitan Statistical Areas: slope heterogeneity, cross-sectional dependence and elasticities
Publication

Publications

House price dynamics in Iberian Metropolitan Statistical Areas: slope heterogeneity, cross-sectional dependence and elasticities

Title
House price dynamics in Iberian Metropolitan Statistical Areas: slope heterogeneity, cross-sectional dependence and elasticities
Type
Article in International Scientific Journal
Year
2022-10-17
Authors
Cunha, AM
(Author)
Other
The person does not belong to the institution. The person does not belong to the institution. The person does not belong to the institution. View Authenticus page Without ORCID
Lobao, J
(Author)
FEP
View Personal Page You do not have permissions to view the institutional email. Search for Participant Publications View Authenticus page View ORCID page
Journal
Vol. 15 No. 3
Pages: 444-462
ISSN: 1753-9269
Publisher: Taylor & Francis
Other information
Authenticus ID: P-00W-VK4
Abstract (EN): Purpose This paper studies the dynamics and elasticities of house prices in Spain and Portugal (Iberia) at the Metropolitan Statistical Area (MSA) level, addressing panel regression problems such as heterogeneity and cross-sectional dependence between MSA. Design/methodology/approach The authors develop a two steps study. First, five distinct estimation methodologies are applied to estimate the long-term house price equilibrium of the Iberian MSA house market: Mean Group (MG), Fully Modified Ordinary Least Square (FMOLS) MG (FMOLS-MG), FMOLS Augmented MG (FMOLS-AMG), Common Correlated Effects MG (CCEMG) and Dynamic CCEMG (DCCEMG). FMOLS-AMG is found to be the best estimator for the long-term model. Second, an additional five distinct estimation methodologies are applied to estimate the short-term house price dynamics using the long-term FMOLS-AMG estimated price in the error-correction term of the short-term dynamic house price model: OLS Fixed Effects (FE), OLS Random Effects (RE), MG, CCEMG and DCCEMG. DCCEMG is found to be the best estimator for the short-term model. Findings The results show that in the long run Iberian house prices are inelastic to aggregate income (0.227). This is a much lower elasticity than what was previously found in US MSA house price studies, suggesting that there are other factors explaining Iberian house prices. According to our study, coastal MSA presents an inelastic housing supply and a price to income elasticity close to one, whereas inland MSA are shown to have an elastic supply and a non-significant price to income elasticity. Spatial differences are important and cross-section dependence is prevalent, affecting estimates in conventional methodologies that do not account for these limitations, such as OLS-FE and OLS-RE. Momentum and mean reversion are the main determinants of short-term dynamics. Practical implications Recent econometric advances that account for slope heterogeneity and cross-section dependence produce more accurate estimates than conventional panel estimation methodologies. The results suggest that house markets should be analyzed at the metropolitan level, not at the national level and that there are significant differences between short-term and long-term house price determinants. Originality/value To the best of the authors' knowledge, this is the first study applying recent econometric advances to the Iberian MSA house market.
Language: English
Type (Professor's evaluation): Scientific
No. of pages: 19
Documents
We could not find any documents associated to the publication.
Related Publications

Of the same authors

The determinants of real estate prices in a European context: a four-level analysis (2021)
Article in International Scientific Journal
Cunha, AM; Lobao, J

Of the same journal

The determinants of real estate prices in a European context: a four-level analysis (2021)
Article in International Scientific Journal
Cunha, AM; Lobao, J
Significance of segment structures in the Portuguese and Iberian property markets (2010)
Article in International Scientific Journal
Vasques, FMVPA; Teixeira, JMC; Brandão, Elísio
Recommend this page Top
Copyright 1996-2025 © Faculdade de Direito da Universidade do Porto  I Terms and Conditions  I Acessibility  I Index A-Z
Page created on: 2025-08-07 at 18:21:13 | Privacy Policy | Personal Data Protection Policy | Whistleblowing