Investigating regional house price convergence in the United States: Evidence from a pair-wise approach

Abstract

In this paper we examine long-run house price convergence across US states using a novel econometric approach advocated by Pesaran (2007) and Pesaran et al. (2009). Our empirical modelling strategy employs a probabilistic test statistic for convergence based on the percentage of unit root rejections among all state house price differentials. Using a sieve bootstrap procedure, we construct confidence intervals and find evidence in favour of convergence. We also conclude that speed of adjustment towards long-run equilibrium is inversely related to distance.

House Price Diffusion: An Application of Spectral Analysis to the Prices of Irish Second-Hand Dwellings

“…Holmes et al (2011) note that there is scant evidence of a long-run equilibrium house price relationship in the USA, but they concur with other authors that there is house price diffusion among neighbouring but not non-neighbouring tracts (Barros et al, 2012;Dolde & Tirtiroglu, 1997;Kim & Rous, 2012;Pollakowski & Ray, 1997). Oikarinen (2006) concludes that housing price changes in Finland diffuse from the Helsinki Metropolitan Area to regional centres and then to the peripheral areas.…”

Multifamily residential asset and space markets and linkages with the economy

“…Apergis & Payne, 2012;Holmes, Otero, & Panagiotidis, 2011). Switzerland is a small and stable economy with a high population density and rather homogeneous mortgage financing availability.…”

Structural Changes in the Korean Housing Market before and after Macroeconomic Fluctuations

“…Holmes et al examined long-run house price convergence across US states using a pair-wise approach. This study showed that long-run house price convergence was present across US states and Metropolitan [21]. Holmes et al examined long-run house price convergence across the twenty Paris districts using a quarterly dataset that spans from 1991 to 2014.…”