Using data for 70 U.S. metropolitan areas, this study explores spatial heterogeneity in house price dynamics. We use recent advances in panel econometrics that allow for spatial heterogeneity, cross-sectional dependence, and non-stationary but cointegrated data. We test for spatial differences...

This paper models the correlated shocks across regional housing markets and the spillover effects in time-varying housing price volatilities. We explore two kinds of diffusion channels: geographic closeness and economic similarity. Our empirical investigation is based on the Case-Shiller housing...

We estimate spatial German land price effects using the county-level residential land prices from 2014 to 2018. We show that county-level spatial agglomeration effects play a large and significant role in explaining the cross-county variations in land prices. For example, a 1 % increase in the...

Asset prices in general, and real house prices in particular, are often characterized by a nonlinear data-generating process which displays mildly explosive behavior in some periods. Here, we investigate the emergence of explosiveness in the dynamics of real house prices and the role played by...

This study analyzes the dynamics of house prices across Istanbul's districts using a unique dataset of house prices and socioeconomic characteristics from 2010Q1 to 2022Q1. The log-t convergence test identifies four convergence clubs, with their formation beginning after 2015, highlighting the...