Real effects of regional house prices: dynamic panel estimation with heterogeneity

Muñoz, Sònia (2004) Real effects of regional house prices: dynamic panel estimation with heterogeneity. Financial Markets Group Discussion Papers (493). Financial Markets Group, The London School of Economics and Political Science, London, UK.

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Abstract

This paper uses recently developed methods for estimating dynamic heterogeneous cointegrated panel data models - which allows for heterogeneity in parameters and dynamics across agents - to study housing wealth effects in a dynamic model of the 50 US states and the District of Columbia from the 1970s to the 1990s. The results show that housing prices have a unit root and are cointegrated with consumption. Even though an aging population has some effect on consumption in some states, it cannot account for the heterogeneity in housing wealth elasticities. Finally, we find that when state heterogeneity is taken into account, housing capital gains translate into increased spending with an elasticity ranging from 0.15 to 0.23.

Item Type:	Monograph (Discussion Paper)
Official URL:	https://www.fmg.ac.uk/
Additional Information:	© 2004 The Author
Divisions:	Financial Markets Group
Subjects:	H Social Sciences > HB Economic Theory
JEL classification:	C - Mathematical and Quantitative Methods > C3 - Econometric Methods: Multiple; Simultaneous Equation Models; Multiple Variables; Endogenous Regressors > C33 - Models with Panel Data G - Financial Economics > G1 - General Financial Markets > G12 - Asset Pricing; Trading volume; Bond Interest Rates R - Urban, Rural, and Regional Economics > R3 - Production Analysis and Firm Location > R31 - Housing Supply and Markets E - Macroeconomics and Monetary Economics > E3 - Prices, Business Fluctuations, and Cycles > E31 - Price Level; Inflation; Deflation C - Mathematical and Quantitative Methods > C3 - Econometric Methods: Multiple; Simultaneous Equation Models; Multiple Variables; Endogenous Regressors > C32 - Time-Series Models E - Macroeconomics and Monetary Economics > E2 - Consumption, Saving, Production, Employment, and Investment > E21 - Macroeconomics: Consumption; Saving; Aggregate Physical and Financial Consumer Wealth
Date Deposited:	05 Aug 2009 10:45
Last Modified:	13 Sep 2024 19:53
URI:	http://eprints.lse.ac.uk/id/eprint/24704

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