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Long-term regional house prices cycles. A city-based index for Italy

Long-term regional house prices cycles. A city-based index for Italy PurposeThis paper aims to present the dynamics of housing prices in Italian cities based on unpublished data with regional details from the late 1960s, half-yearly base, for all main Italian cities measuring the average prices for three city dimensions: city centre, sub-centres and outskirts or suburbs. It estimates the Italian long-term house price index, city based in real terms, and shows a combination of methods to deal with large time-series data.Design/methodology/approachThis paper builds long-term cycles based on the city (real) data by estimating the common components of cointegrated time series and extracting the unobservable signals to build real house price index for sub-regions in Italy. Three different econometric methodologies are used: Johansen cointegration test and VAR models to identify the long-term pattern of prices at the estimated aggregate level; principal components to obtain the common (permanent and transitory) components; and signal extraction in ARIMA time series–model-based approach method to extract the unobserved time signals.FindingsResults show three long-term cycle-trends during the period and identify several one-direction causal non-permanent relationships among house prices from different Italian areas. There is no evidence of convergence among regional’s house prices suggesting that the Italian housing prices converge inside the local market with only short diffusion effects at larger regional level.Research limitations/implicationsData are measured as the average price in squared meters, and the resulting index is not quality controlled.Practical implicationsThe long-term trends on housing prices serve to implement further research and know deeply the evolution of Italian housing prices.Originality/valueThis paper contains new and unknown information about the evolution of housing prices in Italian regions and cities. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Journal of European Real Estate Research Emerald Publishing

Long-term regional house prices cycles. A city-based index for Italy

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References (73)

Publisher
Emerald Publishing
Copyright
Copyright © Emerald Group Publishing Limited
ISSN
1753-9269
DOI
10.1108/JERER-05-2017-0019
Publisher site
See Article on Publisher Site

Abstract

PurposeThis paper aims to present the dynamics of housing prices in Italian cities based on unpublished data with regional details from the late 1960s, half-yearly base, for all main Italian cities measuring the average prices for three city dimensions: city centre, sub-centres and outskirts or suburbs. It estimates the Italian long-term house price index, city based in real terms, and shows a combination of methods to deal with large time-series data.Design/methodology/approachThis paper builds long-term cycles based on the city (real) data by estimating the common components of cointegrated time series and extracting the unobservable signals to build real house price index for sub-regions in Italy. Three different econometric methodologies are used: Johansen cointegration test and VAR models to identify the long-term pattern of prices at the estimated aggregate level; principal components to obtain the common (permanent and transitory) components; and signal extraction in ARIMA time series–model-based approach method to extract the unobserved time signals.FindingsResults show three long-term cycle-trends during the period and identify several one-direction causal non-permanent relationships among house prices from different Italian areas. There is no evidence of convergence among regional’s house prices suggesting that the Italian housing prices converge inside the local market with only short diffusion effects at larger regional level.Research limitations/implicationsData are measured as the average price in squared meters, and the resulting index is not quality controlled.Practical implicationsThe long-term trends on housing prices serve to implement further research and know deeply the evolution of Italian housing prices.Originality/valueThis paper contains new and unknown information about the evolution of housing prices in Italian regions and cities.

Journal

Journal of European Real Estate Research – Emerald Publishing

Published: Nov 6, 2017

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