Download or read book Essays on Spatial Econometrics of the Housing Market written by Bing Zhu and published by . This book was released on 2011 with total page 125 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on Applied Spatial Econometrics and Housing Economics written by Hua Kiefer and published by . This book was released on 2007 with total page 128 pages. Available in PDF, EPUB and Kindle. Book excerpt: Housing purchase represents one of a household's most significant economic decisions. The ancient joke in real estate is that the three most important criteria for selecting a house are location, location, and location. This explains the great emphasis of a household on residential location choice when he/she is buying a home. Driven by households' demand on location, it should also play an important role in determining house prices. As a key determinant in household consumption behavior, locational context or neighborhood effects is worth investigation. This dissertation examines locational/neighborhood effects in the housing market using spatial econometric methods.

Download or read book Modelling Spatial Housing Markets written by Geoffrey Meen and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 279 pages. Available in PDF, EPUB and Kindle. Book excerpt: Spatial fixity is one of the characteristics that distinguishes housing from most other goods and services in the economy. In general, housing cannot be moved from one part of the country to another in response to shortages or excesses in particular areas. The modelling of housing markets and the interlinkages between markets at different spatial levels - international, national, regional and urban - are the main themes of this book. A second major theme is disaggregation, not only in terms of space, but also between households. The book argues that aggregate time-series models of housing markets of the type widely used in Britain and also in other countries in the past have become less relevant in a world of increasing income dispersion. Typically, aggregate relationships will break down, except under special conditions. We can no longer assume that traditional location or tenure patterns, for example, will continue in the future. The book has four main components. First, it discusses trends in housing markets both internationally and within nations. Second, the book develops theoretical housing models at each spatial scale, starting with national models, moving down to the regional level and, then, to urban models. Third, the book provides empirical estimates of the models and, finally, the models are used for policy analysis. Analysis ranges over a wide variety of topics, including explanations for differing international house price trends, the causes of housing cycles, the role of credit markets, regional housing market interactions and the role of housing in urban/suburban population drift.

Download or read book Three essays on housing market and spatial disamenities written by Lin Cui and published by . This book was released on 2011 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Advances in Spatial Econometrics and the Political Economy of Local Housing Supply written by Thorsten Martin and published by . This book was released on 2017 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This cumulative dissertation consists of five chapters. In terms of research content, my thesis can be divided into two parts. Part one examines local interactions and spillover effects between small regional governments using spatial econometric methods. The second part focuses on patterns within municipalities and inspects which institutions of citizen participation, elections and local petitions, influence local housing policies. ...

Download or read book Putting Time Into Space written by Jean Dubé and published by . This book was released on 2018 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: Relationships between past events, future expectations and present decisions, typically examined through a temporal prism within applied economics, have been lately moving to the spatial dimension through spatial econometrics. However, violations of the “arrow of time”, and thus causality, have been identified in spatial econometric techniques applied to spatio-temporal data consisting of observations each at a specific location and distinct moment in time. A comprehensive review classifies for the first time several redresses to this issue in a currently fragmented literature. This paper puts back the temporal dimension into spatial Hedonic Pricing models through a unique specification of a spatio-temporal model that successfully isolates three effects: First, past sale prices affecting current prices, which exemplifies the “sales comparison” approach. Second, a contemporaneous peer effect that is occurring within the narrow time frame of interaction between market participants prior to a sale. Third, the signals of sellers' expectations are captured in the asking prices of other houses not yet sold, while the buyer is active in the market. This affects the final sale price, due to strategic behaviour and anchoring. This is the first instance that effects other than the own asking price can be handled in such models. In “boom” market conditions, this mechanism introduces the expectation of increasing prices to the hedonic price function, potentially contributing to housing market "bubble” propagation.

Download or read book Three Essays in Real Estate and Urban Economy written by Sutee Anantsuksomsri and published by . This book was released on 2013 with total page 286 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation aims to demonstrate applications of regional science methodologies to analyze issues in real estate and urban economics in different scales: city, region, and country. The methodologies used in this dissertation include geographic information systems (GIS), spatial econometrics, and computable general equilibrium (CGE) modeling. There are three chapters in this dissertation. The first chapter studies the impact of the new mass transit systems on the land values of residential development in Bangkok, Thailand. GIS and spatial econometrics are used to examine the impacts. The study has found that the proximity to mass transit stations spatially correlates with an increase in the prices of residential land. The benefit of new mass transit stations, however, may not be equally distributed to the residents of Bangkok due to the lack of value capture mechanisms such as a capital gain tax or a property tax. Policy implications on property taxation are also discussed in this study. Chapter two discusses the economic impact of Cornell University on Tompkins County, New York, focusing on the impact of the investment on the new mixed-used development in Collegetown. This study is one of the first attempts to study the economic impact of a university using a CGE model. In addition, the assumption of increasing-returns-to-scale is incorporated into the framework of a small-area CGE model. This extension of the model allows for a more realistic representation of the imperfect competition in the economic simulation. In the last chapter, a financial CGE model is used to investigate the role of real estate investment in the economy of Thailand. This study discusses how the overinvested real estate market can cause the country to be vulnerable to a financial crisis. In addition, the relationship of real estate asset and property markets is incorporated into the model to captures interconnections between production sectors and financial sectors. The macroeconomic and socioeconomic indicators from the model simulation show that moderate investment in real estate sectors can lead to steady economic growth with small impact on income disparity.

Download or read book Spatial Econometrics written by Giuseppe Arbia and published by Springer Science & Business Media. This book was released on 2008-11-14 with total page 283 pages. Available in PDF, EPUB and Kindle. Book excerpt: Spatial Econometrics is a rapidly evolving field born from the joint efforts of economists, statisticians, econometricians and regional scientists. The book provides the reader with a broad view of the topic by including both methodological and application papers. Indeed the application papers relate to a number of diverse scientific fields ranging from hedonic models of house pricing to demography, from health care to regional economics, from the analysis of R&D spillovers to the study of retail market spatial characteristics. Particular emphasis is given to regional economic applications of spatial econometrics methods with a number of contributions specifically focused on the spatial concentration of economic activities and agglomeration, regional paths of economic growth, regional convergence of income and productivity and the evolution of regional employment. Most of the papers appearing in this book were solicited from the International Workshop on Spatial Econometrics and Statistics held in Rome (Italy) in 2006.

Download or read book Three Essays of Housing Price Dynamics written by Wensheng Kang and published by . This book was released on 2009 with total page 70 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of three essays. The first essay estimates the joint effects of spatial diffusion and high-tech industry fluctuations on housing prices. The work finds these effects are significant but generate different housing price dynamics. The spatial diffusion effect is instantaneous but short-lived, whereas the high tech industry effect is persistent. This conclusion is supported by estimates of a dynamic panel model using data of 42 MSAs (Metropolitan Statistics Area) and Vector Autoregressive models using data of each MSA. The second essay examines the gain of housing portfolio efficiency obtainable through a mixed portfolio by combining geographic characteristics and high-tech industry activities across 40 metropolitan areas. A Bayesian stochastic search is conducted to compute the efficient covariance matrix for the high-dimensional posterior distribution of the panel-data model. Quadratic programming of Fortran/IMSL subroutines is applied to simulate the risk-return efficient frontier of various diversification strategies. The evidence shows that the mixed diversification strategy outperforms the geography based strategy. The gain is superior and can reach as high as 50% in relative risk reduction during high-tech cycle growth periods. The third essay examines the transmission mechanism of tech-pole housing prices and investigates the economic forces behind it. For this purpose, I develop a MCMC algorithm to extract the common stochastic trend and cycle of the integrating prices and conduct Bayesian stochastic search for restriction selection of the panel data model. The evidence shows that the transmission magnitude and persistence depend importantly on the degree of IT-industry concentration between two metropolitan areas. While the common stochastic trend behind the price dynamics is primarily determined by normal income, the monetary policy is responsible for the common boom and bust of tech-pole housing cycles. The policy implication for the real asset pricing and risk hedging strategies are also discussed.

Download or read book Essays on Transparency Systemic Risk and Liquidity in Real Estate Markets written by Daniel Ruf and published by . This book was released on 2018 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of three essays on transparency, systemic risk, and liquidity in real estate markets. The first essay proposes a benchmark portfolio that contains property markets with a higher level of pre-trade transparency to assess expected returns in opaque commercial real estate markets. We find empirical evidence of abnormal returns in opaque markets relative to the benchmark portfolio. Based on pre-trade transparency, we test for information-based co-movements between transparent and less transparent property markets. Revealed post-trade information of how changes in macroeconomic fundamentals affect the valuation of commercial real estate in transparent markets leads to spillover effects to less transparent markets. We also test for learning externalities from the benchmark portfolio to opaque markets. These externalities can be related to different learning-based investment strategies such as cultural familiarity or information advantages from specializing in opaque markets. The second essay analyzes systemic risk in financial center office markets. Based on the expected capital shortfall of financial institutions, we compute the total systemic risk in the banking sector of financial centers. We show that cross-sectional dependence and return co-movements among financial center office markets arise due to the systemic banking sector risk during financial turmoil periods. As crisis periods, we use the dotcom bubble burst in 2001 and the recent financial crisis 2007/2008. Exploiting spatial econometrics, we test for return co-movements among office markets during normal times as a placebo test and among counterfactual retail markets. We also show that the decline in office market returns during financial turmoil is larger in financial centers compared to non-financial centers. The last essay analyzes the impact of nearby located urban agglomeration centers on local rental housing market liquidity. The empirical.

Download or read book The Spatial Dimension of House Prices written by Yunlong Gong and published by . This book was released on 2017-04-12 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This research discovers the spatial regularities of house prices across Chinese prefecture cities in an economic common area and investigates the underlying formation process. It reveals an uneven distribution of house prices across cities, with those large and/or higher-tier cities and their neighbours having significantly higher house prices. Such an uneven pa����ern of house prices demonstrates the agglomeration spillovers in the interurban housing market. Two forms of spillovers are empirically examined. The first is the urban hierarchy distance effect, which is related to the position of a city in a hierarchical urban system. In general, the distance penalty of higher-tier urban centres is confirmed, that is, all else being equal, the further away a city is from the higher-tier city, the lower the house price. The second form of spillovers relates to a city's position in a city network system, in which no hierarchical structure is imposed. In such a situation, the spillovers arise from the interaction with neighbouring cities and it is found that a city that has larger neighbours tends to have higher house prices. These two forms of spillovers are somewhat correlated with each other because a higher-tier city is always associated with a larger urban size.

Download or read book Essays on Spatial Econometrics written by Saruta Benjanuvatra and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays in Spatial Econometrics written by and published by . This book was released on 2005 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays in Honor of Jerry Hausman written by Badi H. Baltagi and published by Emerald Group Publishing. This book was released on 2012-12-17 with total page 576 pages. Available in PDF, EPUB and Kindle. Book excerpt: Aims to annually publish original scholarly econometrics papers on designated topics with the intention of expanding the use of developed and emerging econometric techniques by disseminating ideas on the theory and practice of econometrics throughout the empirical economic, business and social science literature.

Download or read book Essays in Spatial Econometrics written by Yang Yang (Econometrics researcher) and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Spatial econometrics models, especially the spatial autoregressive (SAR) model and its extension to panel settings had been used widely in empirical research in several different fields, especially when we need to capture the effects from networks. However, more empirical researchers are focusing on new questions where the linear spatial econometrics models could not handle. My dissertation tries to extend traditional models to capture two types of effect: risk spillover through financial networks and heterogeneous peer effect through social networks, and develops likelihood approach to estimate these models. Chapter 1 tries to incorporate risk spillover effect with GARCH type models. By introducing both intra-temporal and inter-temporal risk spillover through network, we propose a new multivariate conditional volatility model. For stationary case, the model can capture the dynamic of conditional heteroskedasticity structure when there are long-run stable links among multiple markets, and it is easy to be estimated consistently by QMLE approach. By Monte Carlo simulations, we show good finite sample performance when n/T → 0. When applying the model to monthly stock return innovations of 11 eurozone countries from March 1999 to April 2021, by using geographical and institutional links to capture the network between the countries, the performance of our model dominates single variate GARCH(1,1), EGARCH(1,1) and multivariate GARCH with both constant correlation and dynamic conditional correlation settings by likelihood values and AIC criteria. ii Chapter 2 considers social interaction models with group fixed effects and observed heterogeneity among agents. By likelihood approach, with the control of group-level confounding effects of the common variables, both heterogeneous endogenous peer effects and exogenous contextual effects can be identified and estimated consistently. Under some regularity assumptions, we prove the consistency and asymptotic normality of the QMLE. Monte Carlo simulation results show that our QMLE has good finite sample performance. For an application, we investigate the China Education Panel Survey (CEPS) and focus on gender heterogeneity on academic achievement of Grade 8 students in junior high school. We capture significant gender disparities in peer effects from gender subgroups in a classroom. Besides, female students’ test scores are more subject to both female and male peers’ average achievement.

Download or read book Three Essays on Spatial Econometrics and Empirical Industrial Organization written by Sang-Yeob Lee and published by . This book was released on 2008 with total page 117 pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: The first essay explores the consequences of misspecified spatial interdependence structure in SAR models with a row-normalized weight matrix. I provide the analytical formulae for the asymptotic biases of the OLS estimator when a spatial weight matrix is over-specified, under-specified, or omitted in a simple linear regression model. I then design Monte Carlo experiments to study how a misspecified spatial weight matrix in the SAR model might impact the finite sample properties of the 2SLSE and MLE. The major finding is that an "over-specification" of the weight matrix causes less bias in 2SLSE and MLE as well as lower RMSE than an "under-specification." The results also strongly suggest that goodness of fit measures such as adjusted R-square and log-likelihood can serve as selection criteria for the choice of a spatial weight matrix. In the second essay, I consider the effectiveness of Wald, distance difference, minimum Chi-square, and gradient tests within GMM framework in selecting different specifications of spatial weights in SAR models. The two major results I obtain are (1) that for each of the five tests, GMM framework significantly improves the empirical power of the tests over 2SLS framework, and (2) that when performed in GMM framework, all five tests have suitable empirical size and power with similar performance outcomes. Finally, the third essay investigates the nature of competition in the retail gasoline market using a two year panel data of weekly prices for gas stations in San Diego County. I use IV methods to estimate several spatial autoregressive (SAR) models of stations' price reaction functions after specifying spatial weights based on distance between stations. By using the SAR model, I am able to identify that the brand of competing stations and their relative geographic proximity to the original station are important factors in explaining price variation across gasoline stations, as opposed to just the number of competing stations.

Download or read book Econometric Analyses of International Housing Markets written by Rita Yi Man Li and published by Routledge. This book was released on 2016-03-31 with total page 335 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book explores how econometric modelling can be used to provide valuable insight into international housing markets. Initially describing the role of econometrics modelling in real estate market research and how it has developed in recent years, the book goes on to compare and contrast the impact of various macroeconomic factors on developed and developing housing markets. Explaining the similarities and differences in the impact of financial crises on housing markets around the world, the author's econometric analysis of housing markets across the world provides a broad and nuanced perspective on the impact of both international financial markets and local macro economy on housing markets. With discussion of countries such as China, Germany, UK, US and South Africa, the lessons learned will be of interest to scholars of Real Estate economics around the world.