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1 – 10 of over 2000Mohammad Ismail, Abukar Warsame and Mats Wilhelmsson
The purpose of this study is to analyse the trends regarding housing segregation over the past 10–20 years and determine whether housing segregation has a spillover effect on…
Abstract
Purpose
The purpose of this study is to analyse the trends regarding housing segregation over the past 10–20 years and determine whether housing segregation has a spillover effect on neighbouring housing areas. Namely, the authors set out to determine whether proximity to a specific type of segregated housing market has a negative impact on nearby housing markets while proximity to another type of segregated market has a positive impact.
Design/methodology/approach
For the purposes of this paper, the authors must combine information on segregation within a city with information on property values in the city. The authors have, therefore, used data on the income of the population and data on housing values taken from housing transactions. The case study used is the city of Stockholm, the capital of Sweden. The empirical analysis will be the estimation of the traditional hedonic pricing model. It will be estimated for the condominium market.
Findings
The results indicate that segregation, when measured as income sorting, has increased over time in some of the housing markets. Its effects on housing values in neighbouring housing areas are significant and statistically significant.
Research limitations/implications
A better understanding of the different potential spillover effects on housing prices in relation to the spatial distribution of various income groups would be beneficial in determining appropriate property assessment levels. In other words, awareness of this spillover effect could improve existing property assessment methods and provide local governments with extra information to make an informed decision on policies and services needed in different neighbourhoods.
Practical implications
On housing prices emanating from proximity to segregated areas with high income differs from segregated areas with low income, policies that address socio-economic costs and benefits, as well as property assessment levels, should reflect this pronounced difference. On the property level, positive spillover on housing prices near high-income segregated areas will cause an increase in the number of higher income groups and exacerbate segregation based on income. Contrarily, negative spillover on housing prices near low-income areas might discourage high-income households from moving to a location near low-income segregated areas. Local government should be aware of these spillover effects on housing prices to ensure that policies intended to reduce socioeconomic segregation, such as residential and income segregation, produce desirable results.
Social implications
Furthermore, a good estimation of these spillover effects on housing prices would allow local governments to carry out a cost–benefit analysis for policies intended to combat segregation and invest in deprived communities.
Originality/value
The main contribution of this paper is to go beyond the traditional studies of segregation that mainly emphasise residential segregation based on income levels, i.e. low-income or high-income households. The authors have analysed the spillover effect of proximity to hot spots (high income) and cold spots (low income) on the housing values of nearby condominiums or single-family homes within segregated areas in Stockholm Municipality in 2013.
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Alper Ozun, Hasan Murat Ertugrul and Yener Coskun
The purpose of this paper is to introduce an empirical model for house price spillovers between real estate markets. The model is presented by using data from the US-UK and…
Abstract
Purpose
The purpose of this paper is to introduce an empirical model for house price spillovers between real estate markets. The model is presented by using data from the US-UK and London-New York housing markets over a period of 1975Q1-2016Q1 by employing both static and dynamic methodologies.
Design/methodology/approach
The research analyzes long-run static and dynamic spillover elasticity coefficients by employing three methods, namely, autoregressive distributed lag, the fully modified ordinary least square and dynamic ordinary least squares estimator under a Kalman filter approach. The empirical method also investigates dynamic correlation between the house prices by employing the dynamic control correlation method.
Findings
The paper shows how a dynamic spillover pricing analysis can be applied between real estate markets. On the empirical side, the results show that country-level causality in housing prices is running from the USA to UK, whereas city-level causality is running from London to New York. The model outcomes suggest that real estate portfolios involving US and UK assets require a dynamic risk management approach.
Research limitations/implications
One of the findings is that the dynamic conditional correlation between the US and the UK housing prices is broken during the crisis period. The paper does not discuss the reasons for that break, which requires further empirical tests by applying Markov switching regime shifts. The timing of the causality between the house prices is not empirically tested. It can be examined empirically by applying methods such as wavelets.
Practical implications
The authors observed a unidirectional causality from London to New York house prices, which is opposite to the aggregate country-level causality direction. This supports London’s specific power in the real estate markets. London has a leading role in the global urban economies residential housing markets and the behavior of its housing prices has a statistically significant causality impact on the house prices of New York City.
Social implications
The house price co-integration observed in this research at both country and city levels should be interpreted as a continuity of real estate and financial integration in practice.
Originality/value
The paper is the first research which applies a dynamic spillover analysis to examine the causality between housing prices in real estate markets. It also provides a long-term empirical evidence for a dynamic causal relationship for the global housing markets.
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Omokolade Akinsomi, Mustapha Bangura and Joseph Yacim
Several studies have examined the impact of market fundamentals on house prices. However, the effect of economic sectors on housing prices is limited despite the existence of…
Abstract
Purpose
Several studies have examined the impact of market fundamentals on house prices. However, the effect of economic sectors on housing prices is limited despite the existence of two-speed economies in some countries, such as South Africa. Therefore, this study aims to examine the impact of mining activities on house prices. This intends to understand the direction of house price spreads and their duration so policymakers can provide remediation to the housing market disturbance swiftly.
Design/methodology/approach
This study investigated the effect of mining activities on house prices in South Africa, using quarterly data from 2000Q1 to 2019Q1 and deploying an auto-regressive distributed lag model.
Findings
In the short run, we found that changes in mining activities, as measured by the contribution of this sector to gross domestic product, impact the housing price of mining towns directly after the first quarter and after the second quarter in the non-mining cities. Second, we found that inflationary pressure is instantaneous and impacts house prices in mining towns only in the short run but not in the long run, while increasing housing supply will help cushion house prices in both submarkets. This study extended the analysis by examining a possible spillover in house prices between mining and non-mining towns. This study found evidence of spillover in housing prices from mining towns to non-mining towns without any reciprocity. In the long run, a mortgage lending rate and housing supply are significant, while all the explanatory variables in the non-mining towns are insignificant.
Originality/value
These results reveal that enhanced mining activities will increase housing prices in mining towns after the first quarter, which is expected to spill over to non-mining towns in the next quarter. These findings will inform housing policymakers about stabilising the housing market in mining and non-mining towns. To the best of the authors’ knowledge, this study is the first to measure the contribution of mining to house price spillover.
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Aviral Kumar Tiwari, Christophe André and Rangan Gupta
Assessing the strength and time variation of spillovers between returns on residential real estate, real estate investment trusts (REITs), stocks and bonds in the United States…
Abstract
Purpose
Assessing the strength and time variation of spillovers between returns on residential real estate, real estate investment trusts (REITs), stocks and bonds in the United States. Spillovers reduce the benefits of portfolio diversification, especially in crisis times, when asset returns tend to be more correlated.
Design/methodology/approach
The Diebold–Yilmaz approach in the time domain and the Baruník–Krehlík methodology in the frequency domain are used. The latter allows distinguishing spillovers generating only short-lived volatility from those with a more persistent effect.
Findings
On average, spillovers between housing, stock and bond returns are relatively modest and shocks to stock and bond markets affect housing returns more than the other way round, even though with variations over time. Spillovers in both directions are much stronger between REITs and stocks than between REITs and housing. Shocks originating in the housing market are most persistent, particularly in the aftermath of the subprime crisis.
Practical implications
Housing provides a hedge against volatility in financial (including REITs) markets. However, hedging strategies involving housing need to take into account potential tail events such as the GFC and the investment horizon.
Originality/value
To the best of the knowledge of the authors, this paper is the first to apply the Baruník–Krehlík methodology to real estate price spillovers. Although the Diebold–Yilmaz methodology has been used in several studies on spillovers between residential real estate and financial asset returns, this paper covers a new set of variables and time span.
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Lu Yang, Nannan Yuan and Shichao Hu
To explore the state of this conditional Granger causality when other cities are not factors, we investigate housing market networks in China's major cities by using a combination…
Abstract
Purpose
To explore the state of this conditional Granger causality when other cities are not factors, we investigate housing market networks in China's major cities by using a combination of conditional Granger causality and network analysis.
Design/methodology/approach
Although housing market networks have been well discussed for different countries, the question of housing market networks in China's major cities based on the conditional causality perspective has yet to be answered.
Findings
We discover that second-tier cities are more influential than first-tier cities. Although the connectivity of the primary housing market is more complex than the diversified connectivity observed in the secondary housing market, both markets are scale-free networks that exhibit high stability. Moreover, we reveal that geographic conditions and economic development jointly determine the housing market's modular hierarchical structure. Our results provide meaningful information for both Chinese policymakers and investors.
Originality/value
By excluding the influence of other cities, our conditional Granger causality identifies the true casual relation between cities' housing markets. Moreover, it is the first paper to consider the primary housing market and secondary housing market separately. Specifically, Chinese prefer new house rather than second-hand house from both speculative and self-housing. Generally speaking, the new house price is lower than the second-hand house price since the new house is off-plan property. Therefore, understanding the difference between primary and secondary housing markets will provide useful information for both policymakers and speculators.
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Xiaojie Xu and Yun Zhang
With the rapid-growing house market in the past decade, the purpose of this paper is to study the important issue of house price information flows among 12 major cities in China…
Abstract
Purpose
With the rapid-growing house market in the past decade, the purpose of this paper is to study the important issue of house price information flows among 12 major cities in China, including Shanghai, Beijing, Xiamen, Shenzhen, Guangzhou, Hangzhou, Ningbo, Nanjing, Zhuhai, Fuzhou, Suzhou and Dongguan, during the period of June 2010 to May 2019.
Design/methodology/approach
The authors approach this issue in both time and frequency domains, latter of which is facilitated through wavelet analysis and by exploring both linear and nonlinear causality under the vector autoregressive framework.
Findings
The main findings are threefold. First, in the long run of the time domain and for timescales beyond 16 months of the frequency domain, house prices of all cities significantly affect each other. For timescales up to 16 months, linear causality is weaker and is most often identified for the scale of four to eight months. Second, while nonlinear causality is seldom determined in the time domain and is never found for timescales up to four months, it is identified for scales beyond four months and particularly for those beyond 32 months. Third, nonlinear causality found in the frequency domain is partly explained by the volatility spillover effect.
Originality/value
Results here should be of use to policymakers in certain policy analysis.
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Morteza Moallemi, Daniel Melser, Ashton de Silva and Xiaoyan Chen
The purpose of this paper is on developing and implementing a model which provides a fuller and more comprehensive reflection of the interaction of house prices at the suburb…
Abstract
Purpose
The purpose of this paper is on developing and implementing a model which provides a fuller and more comprehensive reflection of the interaction of house prices at the suburb level.
Design/methodology/approach
The authors examine how changes in housing prices evolve across space within the suburban context. In doing so, the authors developed a model which allows for suburbs to be connected both because of their geographic proximity but also by non-spatial factors, such as similarities in socioeconomic or demographic characteristics. This approach is applied to modelling home price dynamics in Melbourne, Australia, from 2007 to 2018.
Findings
The authors found that including both spatial and non-spatial linkages between suburbs provides a better representation of the data. It also provides new insights into the way spatial shocks are transmitted around the city and how suburban housing markets are clustered.
Originality/value
The authors have generalized the widely used SAR model and advocated building a spatial weights matrix that allows for both geographic and socioeconomic linkages between suburbs within the HOSAR framework. As the authors outlined, such a model can be easily estimated using maximum likelihood. The benefits of such a model are that it yields an improved fit to the data and more accurate spatial spill-over estimates.
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The purpose of this study is to reveal the dynamics of house prices and sales in spatial and temporal dimensions across British regions.
Abstract
Purpose
The purpose of this study is to reveal the dynamics of house prices and sales in spatial and temporal dimensions across British regions.
Design/methodology/approach
This paper incorporates two empirical approaches to describe the behaviour of property prices across British regions. The models are applied to two different data sets. The first empirical approach is to apply the price diffusion model proposed by Holly et al. (2011) to the UK house price index data set. The second empirical approach is to apply a bivariate global vector autoregression model without a time trend to house prices and transaction volumes retrieved from the nationwide building society.
Findings
Identifying shocks to London house prices in the GVAR model, based on the generalized impulse response functions framework, I find some heterogeneity in responses to house price changes; for example, South East England responds stronger than the remaining provincial regions. The main pattern detected in responses and characteristic for each region is the fairly rapid fading of the shock. The spatial-temporal diffusion model demonstrates the presence of a ripple effect: a shock emanating from London is dispersed contemporaneously and spatially to other regions, affecting prices in nondominant regions with a delay.
Originality/value
The main contribution of this work is the betterment in understanding how house price changes move across regions and time within a UK context.
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Changro Lee and Keith Key-Ho Park
It is important to forecast local trading volumes as well as global trading volumes because the real estate market is always characterized as a localized market. The house trading…
Abstract
Purpose
It is important to forecast local trading volumes as well as global trading volumes because the real estate market is always characterized as a localized market. The house trading volume at the local level is forecast through appropriate models to enhance the predictive accuracy.
Design/methodology/approach
Four representative housing submarkets in South Korea are selected, and their trading volumes are forecast. A well-established time-series model and a deep learning algorithm are employed: the autoregressive integrated moving average (ARIMA) model and the recurrent neural network (RNN), respectively. The trading volumes in adjacent areas are utilized as covariates, and an ensemble prediction is applied additionally to improve the model performance.
Findings
The results indicate no significant difference in prediction performance between the ARIMA model and the RNN, which can be attributed to the insufficient amount of data used. It is discovered that the spillover effects of trading volumes across the study areas can be exploited to improve the predictive accuracy, and that the diversity of the predicted values from the candidate models can be used to increase the forecasting accuracy further.
Originality/value
Whereas property prices have been investigated extensively, the discussion on forecasting trading activity of properties is limited in the literature. The results of this study are expected to promote more interest in adopting a local perspective and using a diversity of predicted values when forecasting house trading volumes.
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Juan Carlos Cuestas and Merike Kukk
This paper aims to investigate the mutual dependence between housing prices and housing credit in Estonia, a country that experienced rapid debt accumulation during the 2000s and…
Abstract
Purpose
This paper aims to investigate the mutual dependence between housing prices and housing credit in Estonia, a country that experienced rapid debt accumulation during the 2000s and big swings in house prices during that period.
Design/methodology/approach
The authors use Bayesian econometric methods on data spanning 2000–2015.
Findings
The estimations show the interdependence between house prices and housing credit. More importantly, negative housing credit innovations had a stronger effect on house prices than positive ones.
Originality/value
The asymmetry in the linkage between housing credit and house prices highlights important policy implications, in that if central banks increase capital buffers during good times, they can release credit conditions during hard times to alleviate the negative spillover into house prices and the real economy.
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