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Temporal and Spatial Information Diffusion in Real Estate Price Changes and Variances
Author(s) -
Dolde Walter,
Tirtiroglu Dogan
Publication year - 1997
Publication title -
real estate economics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.064
H-Index - 61
eISSN - 1540-6229
pISSN - 1080-8620
DOI - 10.1111/1540-6229.00727
Subject(s) - volatility (finance) , real estate , econometrics , economics , autoregressive conditional heteroskedasticity , spatial analysis , diffusion , residential real estate , house price , financial economics , finance , statistics , mathematics , physics , thermodynamics
This article examines patterns of temporal and spatial diffusion of real estate price changes. In addition to means, changes in volatility are tracked in reaction to substantial new information, estimated with GARCH‐M methods. The data covers towns in Connecticut and near San Francisco. There is evidence of negative feedback at short lags, contrary to previous research on housing and other assets. There is also evidence of a moving average error process which tends to reverse recent shocks. Significantly positive spatial information diffusion is found from neighboring towns in Connecticut but none in control tests on nonneighboring towns. The results also include evidence of a risk‐reward tradeoff in housing price changes in the San Francisco area.