Long-term regional house prices cycles. A city-based index for Italy
Abstract
Purpose
This paper aims to present the dynamics of housing prices in Italian cities based on unpublished data with regional details from the late 1960s, half-yearly base, for all main Italian cities measuring the average prices for three city dimensions: city centre, sub-centres and outskirts or suburbs. It estimates the Italian long-term house price index, city based in real terms, and shows a combination of methods to deal with large time-series data.
Design/methodology/approach
This paper builds long-term cycles based on the city (real) data by estimating the common components of cointegrated time series and extracting the unobservable signals to build real house price index for sub-regions in Italy. Three different econometric methodologies are used: Johansen cointegration test and VAR models to identify the long-term pattern of prices at the estimated aggregate level; principal components to obtain the common (permanent and transitory) components; and signal extraction in ARIMA time series–model-based approach method to extract the unobserved time signals.
Findings
Results show three long-term cycle-trends during the period and identify several one-direction causal non-permanent relationships among house prices from different Italian areas. There is no evidence of convergence among regional’s house prices suggesting that the Italian housing prices converge inside the local market with only short diffusion effects at larger regional level.
Research limitations/implications
Data are measured as the average price in squared meters, and the resulting index is not quality controlled.
Practical implications
The long-term trends on housing prices serve to implement further research and know deeply the evolution of Italian housing prices.
Originality/value
This paper contains new and unknown information about the evolution of housing prices in Italian regions and cities.
Keywords
Acknowledgements
The authors want to thank two anonymous referees for their comments and suggestions which have contributed substantially to the quality of this paper. The authors also thank the Editor for his support.
Citation
Gabrielli, L., Taltavull de La Paz, P. and Ortuño Padilla, A. (2017), "Long-term regional house prices cycles. A city-based index for Italy", Journal of European Real Estate Research, Vol. 10 No. 3, pp. 303-330. https://doi.org/10.1108/JERER-05-2017-0019
Publisher
:Emerald Publishing Limited
Copyright © 2017, Emerald Publishing Limited