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The Spatial Diffusion of Regional Housing Prices across U.S. States

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  • Ryan Brady

    (United States Naval Academy)

Abstract
In this paper I estimate the spatial diffusion of housing prices across U.S. states over a period from 1975 to 2011, showing how long and to what magnitude state-level housing prices are affected by a price shock emanating from surrounding states. I capture the spatial diffusion of regional housing prices with impulse response functions estimated directly from a single equation spatial autoregressive model. In addition, I compare and contrast spatial impulse response estimates across sub-regions and then over sub-periods. Results show that for the 1975 to 2011 period spatial diffusion of housing prices is statistically significant and persistent across states. Moreover, sub-region estimation shows the spatial diffusion is persistent in the four Census regions for the United States. Sub-period estimation, too, suggests the magnitude and persistence of spatial diffusion may be more pronounced after 1999 than before.

Suggested Citation

  • Ryan Brady, 2013. "The Spatial Diffusion of Regional Housing Prices across U.S. States," Departmental Working Papers 45, United States Naval Academy Department of Economics.
    • Handle: RePEc:usn:usnawp:45
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    JEL classification:

    • C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • R11 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General Regional Economics - - - Regional Economic Activity: Growth, Development, Environmental Issues, and Changes
    • R12 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General Regional Economics - - - Size and Spatial Distributions of Regional Economic Activity; Interregional Trade (economic geography)
    • E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles

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