Regional Relationships in New Housing Prices in Colombia
Main Article Content
Keywords
Housing prices, market integration, regional prices, VAR model, Colombia
Abstract
This study examines the regional relationships in the price of new housing in seven major cities in Colombia during the period 1999 Q2 to 2013 Q3 using time series statistical techniques. We show that while regional prices tend to converge in the long run, there is no evidence that price shocks in the capital (Bogotá) diffuse to other cities. We do find evidence that prices in some smaller cities are affected by prices in neighboring cities.
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References
Abbott, A., & De Vita, G. (2013). Testing for long-run convergence across regional house prices in the UK: a pairwise approach. Applied Economics, 45 (10), 1227-1238.
Abraham, J., & Hendershott, P. Patterns and Determinants of Metropolitan House Prices, 1977 to 1991. , Real Estate and the Credit Crunch 18–42.
Alexander, C. O. (1993). The changing relationship between productivity, wages and unemployment in the UK. Oxford Bulletin of Economics and Statistics, 55(1), 87-102.
Alexander, C., & Barrow, M. (1994). Seasonality and cointegration of regional house prices in the UK. Urban Studies 31, 1667–1689.
Andre, C., Gil-Alana, L. A., & Gupta, R. (2013). Comovement in Euro Area Housing Prices: A Fractional Cointegration Approach (No. 201359).
Andrew, M., Meen, G., & Reading Univ. (United Kingdom). Centre for Spatial and Real State Economics. (1998). Modelling regional house prices: a review of the literature. Report Prepared for the Departament of the Environment, Transport and the Regions, Centre for Spatial and Real Estate Economics, University of Reading.
Apergies, N., & Payne, J. E. (2012). Convergence in US house prices by state: evidence from the club convergence and clustering procedure. Letters in Spatial and Resource Sciences, 5(2), 103-111.
Apergis, N. Simo-Kengne, B. y Gupta, R. (2015). Convergence in provincial-level South African House Prices: Evidence fron the club convergence and clustering procedure. Review of Urban & Regional development studies, Vol. 27, No. 1, pp. 1 – 17.
Baffoe-bonnie, J. (1998). The Dynamic Impact of Macroeconomic Aggregates on Housing Prices and Stock of Houses : A National and Regional Analysis, 197, 179–198.
Banerjee, A. y Carrion-i-Silvestre, J. (2015). Cointegration in Panel data with Structural Breaks and Cross-Section Dependence. Journal of Applied Econometrics, 30, pp. 1 – 23.
Bender, B., & Hwang, H. S. (1985). Hedonic housing price indices and secondary employment centers. Journal of Urban Economics, 17(1), 90–107.
Berg, L. (2002). Prices on the second-hand market for Swedish family houses: correlation, causation and determinants. European Journal of Housing Policy, 2(1), 1–24.
Berry, B. (1976). Ghetto expansion and single-family housing prices: Chicago, 1968?1972. Journal of Urban Economics, 3(4), 397–423.
Brennan, M., Olaru, D., & Smith, B. (2014). Are exclusion factors capitalised in housing prices? Case Studies on Transport Policy.
Breur, J. B., McNown, R., & Wallace, M. S. (2001). Misleading Inferences from Panel Unit-Root Test with an Ilustration from Purchasing Power Parity. Review of International Economics, 9 (3). 482-493.
Brueckner, J. K. (1987). The structure of urban equilibria: A unified treatment of the Muth-Mills model. Handbook of Regional and Urban Economics, 2, 821–845.
Chen, P. F., Chien, M. S., & Lee, C. C. (2011). Dynamic modelling of regional house price difussion in Taiwan. Journal of Housing Economics, 20(4), 315-332.
Chien, M., & Chang Lee, S. J. (2006). The convergence of regional house price: An application to Taiwan. In 9th Joint International Conference on Information Sciences ( JCIS-06). Atlantis Press.
Chien, M.-S. (2008). Structural Breaks and the Convergence of Regional House Prices. The Journal of Real Estate Finance and Economics, 40(1), 77–88.
Clapp, J. M., & Pace, R. K. (2001). Residential Land Values and the Decentralization of Jobs. Real Estate Finance, 43–61.
Colwell, P. F., & Munneke, H. J. (1997). The Structure of Urban Land Prices,. Journal of Urban Economics, 41(3), 321–336.
Cook, S. (2003) “The Convergence of Regional House Prices in the UK.” Urban Studies 40: 2285-2294.
Cook, S. (2005). Regional house price behaviour in the UK: application of a joint testing procedure. Physica A: Statistical Mechanics and Its Applications, 345(3-4), 611–621.
DanielsS, C. (1975). The influence of racial segregation on housing prices. Journal of Urban Economics, 2(2), 105–122.
Dickey, D. A., y Fuller, W. A. (1979). Distribution of the Estimators for Autoregressive Time Series with a Unit Root. Journal of the American Statistical Association, Vol. 74 (366), pp. 427 – 431.
Dickey, D. A., y Fuller, W. A. (1981). Likelihood Ratio Statistics for Autoregressive Time Series with Unit Root. Econometrica, Vol. 49 (4), 1057 – 1072.
Dowall, D. E., & Treffeisen, P. A. (1991). Spatial transformation in cities of the developing world: Multinucleation and land-capital substitution in Bogota, Colombia. Regional Science and Urban Economics, 21(2), 201–224.
Drake, L. (1995). Testing for convergence between UK Regional House Prices, Regional Studies, 29(4). 357-366.
Enders, W., & Siklos, P. (2001). Cointegration and threshold adjustment, Journal of Business and Economic Statistics, 19, 251-276.
Engle, R. & Granger, C. (1987) “Co-integration and Error Correction: Representation, Estimation and Testing.” Econometrica 55: 251-276.
Glaeser, E. L., Gyourko, J. y Saks, R. E. (2004). Why Have Housing Prices Gone Up?. The American Economic Review, 95(2): 329 – 333.
Glaeser, E. L. (2008). Cities, Agglomeration and Spatial Equilibrium. Oxford: Oxford University Press.
Glaeser, E. L., Gyourko, J., & Saiz, A. (2008). Housing supply and housing bubbles. Journal of Urban Economics, 64(2), 198-217.
Gregory, A. W. y Hansen, B. E. (1996). Residual-based tests for cointegration in models with regime shifts. Journal of Econometrics, Vol. 70, pp. 99-126.
Harris, J. C. (1989). The effect of real rates of interest on housing prices. The Journal of Real Estate Finance and Economics, 2(1), 47–60.
Ho, L. S., Ma, Y., & Haurin, D. R. (2007). Domino effects within a housing market: The transmission of house price changes across quality tiers. Journal of Real Estate Finance and Economics.
Holmes, M. J.(2007). How convergent are regional house prices in the United Kingdom? Some new evidence from panel data unit root testing. , 9 Journal of Economic and Social Research 1–17.
Holmes, M. J., Otero, J., & Panagiotidis, T. (2011). Investigating regional house price convergence in the United States: Evidence from a pair-wise approach. Economic Modelling, 28(6), 2369–2376.
Hu, H., Geertman, S., & Hooimeijer, P. (2014). Amenity value in post-industrial Chinese cities: The case of Nanjing. Urban Geography, 35(3), 420–439.
Johansen, S. (1988). Statistical analysis of cointegration vectors. Journal of Economic Dynamics and Control, Vol. 12 (2-3), 231 – 254.
Johansen, S. y Juselius, K. (1990). "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money". Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
Johansen, S. (1991). Estimation and Hypothesis testing of Cointegration Vectors in Gaussian Vector Autoregressive Models. Econometrica, Vol. 59 (6), pp. 1551 – 1580.
Kain, J. F., & Quigley, J. M. (1970). Measuring the Value of Housing Quality. Journal of the American Statistical Association, 65(330), 532.
Kau, J. B., & Sirmans, C. F. (1979). Urban land value functions and the price elasticity of demand for housing. Journal of Urban Economics, 6(1), 112–121.
Kim, Y. S., & Rous, J. J. (2012). House price convergence: Evidence from US state and metropolitan area panels. Journal of Housing Economics, 21(2). 169-186.
Kwiatkowski, D., Phillips, P. C. y Yougcheol Shin, P. S. (1992). Testing the null hypothesis of stationarity against the alternative of a unit root: How sure are we that economic time series have a unit root? Journal of Econometrics - Elsevier, Vol. 54 (1-3), pp. 159 – 178.
Lapham, V. (1971). Do Blacks Pay More for Housing? Journal of Political Economy, 79(6), 1244.
Liu, L. H., & Zhang, H. J. (2008). Housing price ripple effects within cities: a perspective of regional economy three-sector equilibrium model. , International Seminar on Business and Information Management.
Luo, Z. Q., Liu, C., & Picken, D. (2007). Housing price diffusion pattern of Australia’s state capital cities. International Journal of Strategic Property Management, 11(4), 227-242.
Manchester, J. (1987). Inflation and housing demand: A new perspective. Journal of Urban Economics, 21(1), 105–125.
McDonald, J. F., & Bowman, H. W. (1979). Land value functions: A reevaluation. Journal of Urban Economics, 6(1), 25–41.
McDonald, J. F., & McMillen, D. P. (1990). Employment subcenters and land values in a polycentric urban area: the case of Chicago. Environment and Planning A, 22(12), 1561–1574.
McDonald, J. F., & McMillen, D. P. (1998). Land Values, Land Use, and the First Chicago Zoning Ordinance. The Journal of Real Estate Finance and Economics, 16(2), 135–150.
McMillen, D. (1990). Consistent estimation of the urban land value function. Journal of Urban Economics, 27(3), 285–293.
McMillen, D. P., & McDonald, J. F. (1991). Urban land value functions with endogenous zoning. Journal of Urban Economics, 29(1), 14–27.
Mcmillen, D. P., Jamin, R., & Thorsnes, P. (1992). Selection bias and land development in the monocentric city model. Journal of Urban Economics, 31(3), 273–284.
McMillen, D. P., & McDonald, J. F. (1993). Could zoning have increased land values in Chicago?. Journal of Urban Economics, 33(2), 167-188.
McDonald, Ronald & Taylor, Mark P. (1993). "Regional House Prices in Britain: Long-Run Relationships and Short-Run Dynamics," Scottish Journal of Political Economy, Scottish Economic Society, vol. 40(1), pages 43-55, February.
Mcmillen, D. P. (1996). One hundred fifty years of land values in Chicago: A nonparametric approach. Journal of Urban Economics, 40(1), 100–124.
McMillen, D. P., & McDonald, J. F. (1999). Land use before zoning: The case of 1920’s Chicago. Regional Science and Urban Economics, 29(4), 473-489.
Meen, G. (1999) “Regional house prices and the ripple effect: a new interpretation.” Housing Studies 14: 733–753.
Pesaran, M. H., & Shin, Y. (1998). Generalized impulse response analysis in linear multivariate models. Economics Letters, 58. 17-29.
Phillips, P. C., & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75(2), 335-346.
Phillips, P. C. B., & Sul, D. (2007). Transition modeling and econometric convergence test. Econometrica, 75(6). 1771-1855.
Roback, J. (1980). Wages, Rents and the Quality of Life. Journal of Political Economy, 90(6): 1257 – 1278.
Rosen, S. (1974). Hedonic Prices and Implicit Markets: Product Differentiation in Pure Competition”. Journal of Political Economy, Vol. 82(1): 34 – 55.
Toda, H. Y., & Yamamoto, T., (1995). Statistical inference in vector autoregression with possibly integrated processes. Journal of Econometrics, 66, 225-250.
Vansteenkiste, I. (2007). Regional housing market spillovers in the US lessons from regional divergences in a common monetary policy setting. 708, p. 35.
Yeates, M. H. (1965). Some Factors Affecting the Spatial Distribution of Chicago Land Values, 1910-1960. Economic Geography, 41(1), 57.
Zhang, F., & Morley, B. (2014). The convergence of regional house prices in China. Applied Economics Letters, 21(3), 205–208.
Zhang, H. J., & Liu, L. H.(2009). Empirical research on housing price ripple effect between China’s cities. , International Conference on Service Science, Management and Engineering.
Zivot, Eric & Andrews, Donald W. K., (1992). "Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(3), pages 251-70, July.
Zohrabyan, T., Leatham, D. J., & Bessler, D. A. (2008). Cointegration analysis of regional house prices in US (No. 48138). Regional Research Committee NC-1014: Agricultural and Rural Finance Markets in Transition.
Abraham, J., & Hendershott, P. Patterns and Determinants of Metropolitan House Prices, 1977 to 1991. , Real Estate and the Credit Crunch 18–42.
Alexander, C. O. (1993). The changing relationship between productivity, wages and unemployment in the UK. Oxford Bulletin of Economics and Statistics, 55(1), 87-102.
Alexander, C., & Barrow, M. (1994). Seasonality and cointegration of regional house prices in the UK. Urban Studies 31, 1667–1689.
Andre, C., Gil-Alana, L. A., & Gupta, R. (2013). Comovement in Euro Area Housing Prices: A Fractional Cointegration Approach (No. 201359).
Andrew, M., Meen, G., & Reading Univ. (United Kingdom). Centre for Spatial and Real State Economics. (1998). Modelling regional house prices: a review of the literature. Report Prepared for the Departament of the Environment, Transport and the Regions, Centre for Spatial and Real Estate Economics, University of Reading.
Apergies, N., & Payne, J. E. (2012). Convergence in US house prices by state: evidence from the club convergence and clustering procedure. Letters in Spatial and Resource Sciences, 5(2), 103-111.
Apergis, N. Simo-Kengne, B. y Gupta, R. (2015). Convergence in provincial-level South African House Prices: Evidence fron the club convergence and clustering procedure. Review of Urban & Regional development studies, Vol. 27, No. 1, pp. 1 – 17.
Baffoe-bonnie, J. (1998). The Dynamic Impact of Macroeconomic Aggregates on Housing Prices and Stock of Houses : A National and Regional Analysis, 197, 179–198.
Banerjee, A. y Carrion-i-Silvestre, J. (2015). Cointegration in Panel data with Structural Breaks and Cross-Section Dependence. Journal of Applied Econometrics, 30, pp. 1 – 23.
Bender, B., & Hwang, H. S. (1985). Hedonic housing price indices and secondary employment centers. Journal of Urban Economics, 17(1), 90–107.
Berg, L. (2002). Prices on the second-hand market for Swedish family houses: correlation, causation and determinants. European Journal of Housing Policy, 2(1), 1–24.
Berry, B. (1976). Ghetto expansion and single-family housing prices: Chicago, 1968?1972. Journal of Urban Economics, 3(4), 397–423.
Brennan, M., Olaru, D., & Smith, B. (2014). Are exclusion factors capitalised in housing prices? Case Studies on Transport Policy.
Breur, J. B., McNown, R., & Wallace, M. S. (2001). Misleading Inferences from Panel Unit-Root Test with an Ilustration from Purchasing Power Parity. Review of International Economics, 9 (3). 482-493.
Brueckner, J. K. (1987). The structure of urban equilibria: A unified treatment of the Muth-Mills model. Handbook of Regional and Urban Economics, 2, 821–845.
Chen, P. F., Chien, M. S., & Lee, C. C. (2011). Dynamic modelling of regional house price difussion in Taiwan. Journal of Housing Economics, 20(4), 315-332.
Chien, M., & Chang Lee, S. J. (2006). The convergence of regional house price: An application to Taiwan. In 9th Joint International Conference on Information Sciences ( JCIS-06). Atlantis Press.
Chien, M.-S. (2008). Structural Breaks and the Convergence of Regional House Prices. The Journal of Real Estate Finance and Economics, 40(1), 77–88.
Clapp, J. M., & Pace, R. K. (2001). Residential Land Values and the Decentralization of Jobs. Real Estate Finance, 43–61.
Colwell, P. F., & Munneke, H. J. (1997). The Structure of Urban Land Prices,. Journal of Urban Economics, 41(3), 321–336.
Cook, S. (2003) “The Convergence of Regional House Prices in the UK.” Urban Studies 40: 2285-2294.
Cook, S. (2005). Regional house price behaviour in the UK: application of a joint testing procedure. Physica A: Statistical Mechanics and Its Applications, 345(3-4), 611–621.
DanielsS, C. (1975). The influence of racial segregation on housing prices. Journal of Urban Economics, 2(2), 105–122.
Dickey, D. A., y Fuller, W. A. (1979). Distribution of the Estimators for Autoregressive Time Series with a Unit Root. Journal of the American Statistical Association, Vol. 74 (366), pp. 427 – 431.
Dickey, D. A., y Fuller, W. A. (1981). Likelihood Ratio Statistics for Autoregressive Time Series with Unit Root. Econometrica, Vol. 49 (4), 1057 – 1072.
Dowall, D. E., & Treffeisen, P. A. (1991). Spatial transformation in cities of the developing world: Multinucleation and land-capital substitution in Bogota, Colombia. Regional Science and Urban Economics, 21(2), 201–224.
Drake, L. (1995). Testing for convergence between UK Regional House Prices, Regional Studies, 29(4). 357-366.
Enders, W., & Siklos, P. (2001). Cointegration and threshold adjustment, Journal of Business and Economic Statistics, 19, 251-276.
Engle, R. & Granger, C. (1987) “Co-integration and Error Correction: Representation, Estimation and Testing.” Econometrica 55: 251-276.
Glaeser, E. L., Gyourko, J. y Saks, R. E. (2004). Why Have Housing Prices Gone Up?. The American Economic Review, 95(2): 329 – 333.
Glaeser, E. L. (2008). Cities, Agglomeration and Spatial Equilibrium. Oxford: Oxford University Press.
Glaeser, E. L., Gyourko, J., & Saiz, A. (2008). Housing supply and housing bubbles. Journal of Urban Economics, 64(2), 198-217.
Gregory, A. W. y Hansen, B. E. (1996). Residual-based tests for cointegration in models with regime shifts. Journal of Econometrics, Vol. 70, pp. 99-126.
Harris, J. C. (1989). The effect of real rates of interest on housing prices. The Journal of Real Estate Finance and Economics, 2(1), 47–60.
Ho, L. S., Ma, Y., & Haurin, D. R. (2007). Domino effects within a housing market: The transmission of house price changes across quality tiers. Journal of Real Estate Finance and Economics.
Holmes, M. J.(2007). How convergent are regional house prices in the United Kingdom? Some new evidence from panel data unit root testing. , 9 Journal of Economic and Social Research 1–17.
Holmes, M. J., Otero, J., & Panagiotidis, T. (2011). Investigating regional house price convergence in the United States: Evidence from a pair-wise approach. Economic Modelling, 28(6), 2369–2376.
Hu, H., Geertman, S., & Hooimeijer, P. (2014). Amenity value in post-industrial Chinese cities: The case of Nanjing. Urban Geography, 35(3), 420–439.
Johansen, S. (1988). Statistical analysis of cointegration vectors. Journal of Economic Dynamics and Control, Vol. 12 (2-3), 231 – 254.
Johansen, S. y Juselius, K. (1990). "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money". Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
Johansen, S. (1991). Estimation and Hypothesis testing of Cointegration Vectors in Gaussian Vector Autoregressive Models. Econometrica, Vol. 59 (6), pp. 1551 – 1580.
Kain, J. F., & Quigley, J. M. (1970). Measuring the Value of Housing Quality. Journal of the American Statistical Association, 65(330), 532.
Kau, J. B., & Sirmans, C. F. (1979). Urban land value functions and the price elasticity of demand for housing. Journal of Urban Economics, 6(1), 112–121.
Kim, Y. S., & Rous, J. J. (2012). House price convergence: Evidence from US state and metropolitan area panels. Journal of Housing Economics, 21(2). 169-186.
Kwiatkowski, D., Phillips, P. C. y Yougcheol Shin, P. S. (1992). Testing the null hypothesis of stationarity against the alternative of a unit root: How sure are we that economic time series have a unit root? Journal of Econometrics - Elsevier, Vol. 54 (1-3), pp. 159 – 178.
Lapham, V. (1971). Do Blacks Pay More for Housing? Journal of Political Economy, 79(6), 1244.
Liu, L. H., & Zhang, H. J. (2008). Housing price ripple effects within cities: a perspective of regional economy three-sector equilibrium model. , International Seminar on Business and Information Management.
Luo, Z. Q., Liu, C., & Picken, D. (2007). Housing price diffusion pattern of Australia’s state capital cities. International Journal of Strategic Property Management, 11(4), 227-242.
Manchester, J. (1987). Inflation and housing demand: A new perspective. Journal of Urban Economics, 21(1), 105–125.
McDonald, J. F., & Bowman, H. W. (1979). Land value functions: A reevaluation. Journal of Urban Economics, 6(1), 25–41.
McDonald, J. F., & McMillen, D. P. (1990). Employment subcenters and land values in a polycentric urban area: the case of Chicago. Environment and Planning A, 22(12), 1561–1574.
McDonald, J. F., & McMillen, D. P. (1998). Land Values, Land Use, and the First Chicago Zoning Ordinance. The Journal of Real Estate Finance and Economics, 16(2), 135–150.
McMillen, D. (1990). Consistent estimation of the urban land value function. Journal of Urban Economics, 27(3), 285–293.
McMillen, D. P., & McDonald, J. F. (1991). Urban land value functions with endogenous zoning. Journal of Urban Economics, 29(1), 14–27.
Mcmillen, D. P., Jamin, R., & Thorsnes, P. (1992). Selection bias and land development in the monocentric city model. Journal of Urban Economics, 31(3), 273–284.
McMillen, D. P., & McDonald, J. F. (1993). Could zoning have increased land values in Chicago?. Journal of Urban Economics, 33(2), 167-188.
McDonald, Ronald & Taylor, Mark P. (1993). "Regional House Prices in Britain: Long-Run Relationships and Short-Run Dynamics," Scottish Journal of Political Economy, Scottish Economic Society, vol. 40(1), pages 43-55, February.
Mcmillen, D. P. (1996). One hundred fifty years of land values in Chicago: A nonparametric approach. Journal of Urban Economics, 40(1), 100–124.
McMillen, D. P., & McDonald, J. F. (1999). Land use before zoning: The case of 1920’s Chicago. Regional Science and Urban Economics, 29(4), 473-489.
Meen, G. (1999) “Regional house prices and the ripple effect: a new interpretation.” Housing Studies 14: 733–753.
Pesaran, M. H., & Shin, Y. (1998). Generalized impulse response analysis in linear multivariate models. Economics Letters, 58. 17-29.
Phillips, P. C., & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75(2), 335-346.
Phillips, P. C. B., & Sul, D. (2007). Transition modeling and econometric convergence test. Econometrica, 75(6). 1771-1855.
Roback, J. (1980). Wages, Rents and the Quality of Life. Journal of Political Economy, 90(6): 1257 – 1278.
Rosen, S. (1974). Hedonic Prices and Implicit Markets: Product Differentiation in Pure Competition”. Journal of Political Economy, Vol. 82(1): 34 – 55.
Toda, H. Y., & Yamamoto, T., (1995). Statistical inference in vector autoregression with possibly integrated processes. Journal of Econometrics, 66, 225-250.
Vansteenkiste, I. (2007). Regional housing market spillovers in the US lessons from regional divergences in a common monetary policy setting. 708, p. 35.
Yeates, M. H. (1965). Some Factors Affecting the Spatial Distribution of Chicago Land Values, 1910-1960. Economic Geography, 41(1), 57.
Zhang, F., & Morley, B. (2014). The convergence of regional house prices in China. Applied Economics Letters, 21(3), 205–208.
Zhang, H. J., & Liu, L. H.(2009). Empirical research on housing price ripple effect between China’s cities. , International Conference on Service Science, Management and Engineering.
Zivot, Eric & Andrews, Donald W. K., (1992). "Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(3), pages 251-70, July.
Zohrabyan, T., Leatham, D. J., & Bessler, D. A. (2008). Cointegration analysis of regional house prices in US (No. 48138). Regional Research Committee NC-1014: Agricultural and Rural Finance Markets in Transition.