All Rights Reserved
AccessEcon LLC 2006, 2008.
Powered by MinhViet JSC
ralph lauren polo

Tiziana Caliman and Enrico di Bella
''Spatial Autoregressive Models for House Price Dynamics in Italy''
( 2011, Vol. 31 No.2 )
This paper elaborates a Spatial Autoregressive and Spatial Error Model (SAR-SE Model) to investigate the Italian house price dynamics. House prices in real terms have been modelled for the period 1995-2008 in all the 103 Italian provinces along with affordability ratio, persistency term, some social-economic variables and credit market variables. One of the key results of this paper, is the evidence on house price spatial autocorrelation, verified through the Baltagi, Song and Koh (2003) LM test. On the contrary, no evidence of housing price overvaluation has been found, in comparison with the fundamental values determined by interest rates, households income, rents, employment and construction cost.
Keywords: house prices, fundamentals, mean reversion, serial correlation, spatial dependence
C4 - Econometric and Statistical Methods: Special Topics
Manuscript Received : Nov 05 2010 Manuscript Accepted : Jun 25 2011

  This abstract has been downloaded 499 times                The Full PDF of this paper has been downloaded 96949 times