دوره 28، شماره 3 - ( پاییز 1402 )                   دوره28 شماره 3 صفحات 42-3 | برگشت به فهرست نسخه ها

XML English Abstract Print

Download citation:
BibTeX | RIS | EndNote | Medlars | ProCite | Reference Manager | RefWorks
Send citation to:
Tavassoli S, Khiabani N. (2023). Spatio-Temporal Diffusion of Housing Prices in Iran. JPBUD. 28(3), 3-42. doi:10.61186/jpbud.28.3.3
URL: http://jpbud.ir/article-1-2224-fa.html
توسلی سلاله، خیابانی ناصر. انتشار فضایی-زمانی قیمت مسکن در مناطق ایران فصلنامه برنامه ریزی و بودجه 1402; 28 (3) :42-3 10.61186/jpbud.28.3.3

URL: http://jpbud.ir/article-1-2224-fa.html

انتشار فضایی-زمانی قیمت مسکن در مناطق ایران
سلاله توسلی1 ، ناصر خیابانی* 2
1- دانشکده اقتصاد، دانشگاه علامه طباطبایی، تهران، ایران
2- گروه اقتصاد، دانشکده اقتصاد، دانشگاه علامه طباطبائی، تهران، ایران ، naser.khiabani@atu.ac.ir
چکیده:   (1367 مشاهده)
بررسی پویایی رفتار قیمت مسکن در کشور نیازمند مطالعۀ نحوه تعاملات فضایی مجموعه‌ای از بازارهای منطقه‌ای به‌‏هم پیوسته است. قیمت مسکن به‏‌طور بالقوه در فضا ناهمگن است، اما تحولات قیمت در مناطق مختلف به دلیل دو ویژگی وابستگی و ناهمگنی فضایی می‌تواند کاملاً مستقل از یکدیگر نباشد و نکتۀ کلیدی در این بحث توجه به منبع وابستگی‌های مقطعی است. وابستگی مقطعی می‌تواند ناشی از نقش فضا در فرایندهای اقتصادی یا ناشی از شوک‌های مشترک کل اقتصاد نظیر شوک نفتی باشد. در این پژوهش با کمک الگوی انتشار فضایی-زمانی قیمت مسکن مشاهده می‌شود که منطقه تهران به عنوان مرکز تحولات اقتصادی و بالتبع محل تمرکز درآمدهای نفتی کشور به عنوان منطقۀ مسلط در کشور عمل می‏‌کند و نقش کلیدی را در انتشار تکانه‌های قیمتی مسکن بر همسایگان و سایر مناطق ایفا می‌کند. نتایج نشان می‌دهد که مجاورت مالی در مدلسازی انتشار فضایی قیمت مسکن اهمیت بیش‎تری نسبت به مجاورت جغرافیایی دارد و مناطق با لینک‌های مالی قوی‌تر با منطقه تهران، در بلندمدت بیش‏ترین اثرپذیری را از شوک‌های واردشده به این منطقه خواهند داشت.
واژه‌های کلیدی: انتشار فضایی-زمانی قیمت مسکن، رفتار قیمت مسکن، بازارهای منطقه‌ای مسکن، منطقۀ مسلط، مدل پویای تصحیح خطای برداری
متن کامل [PDF 2355 kb]   (361 دریافت)    
نوع مطالعه: پژوهشي | موضوع مقاله: اقتصاد کلان
دریافت: 1402/5/1 | پذیرش: 1402/6/18 | انتشار الکترونیک: 1402/9/10
فهرست منابع
1. Agnello, L., Castro, V., Hammoudeh, S., & Sousa, R. M. (2017). Spillovers from the Oil Sector to the Housing Market Cycle. Energy Economics, 61(1), 209-220. [DOI:10.1016/j.eneco.2016.11.004]
2. Ahelegbey, D. F., Billio, M., & Casarin, R. (2016). Bayesian Graphical Models for Structural Vector Autoregressive Processes. Journal of Applied Econometrics, 31(2), 357-386. [DOI:10.1002/jae.2443]
3. Alexander, C., & Barrow, M. (1994). Seasonality and Cointegration of Regional House Prices in the UK. Urban Studies, 31(10), 1667-1689. [DOI:10.1080/00420989420081571]
4. Anselin, L. (1988). Spatial Heterogeneity. In Spatial Econometrics: Methods and Models (pp. 119-136). Springer. [DOI:10.1007/978-94-015-7799-1_9]
5. Antonakakis, N., Gupta, R., & Muteba Mwamba, J. W. (2016). Dynamic Comovements between Housing and Oil Markets in the US over 1859 to 2013: A Note. Atlantic Economic Journal, 44, 377-386. [DOI:10.1007/s11293-016-9508-4]
6. Ashworth, J., & Parker, S. C. (1997). Modelling Regional House Prices in the UK. Scottish Journal of Political Economy, 44(3), 225-246. [DOI:10.1111/1467-9485.00055]
7. Baicker, K. (2005). The Spillover Effects of State Spending. Journal of Public Economics, 89(2-3), 529-544. [DOI:10.1016/j.jpubeco.2003.11.003]
8. Bailey, N., Holly, S., & Pesaran, M. H. (2016). A Two‐Stage Approach to Spatio‐Temporal Analysis with Strong and Weak Cross‐Sectional Dependence. Journal of Applied Econometrics, 31(1), 249-280. [DOI:10.1002/jae.2468]
9. Balcilar, M., Beyene, A., Gupta, R., & Seleteng, M. (2013). 'Ripple' Effects in South African House Prices. Urban Studies, 50(5), 876-894. [DOI:10.1177/0042098012458551]
10. Beenstock, M., & Felsenstein, D. (2019). Spatial Vector Autoregressions. In The Econometric Analysis of Non-Stationary Spatial Panel Data (pp. 129-161). Springer. [DOI:10.1007/978-3-030-03614-0_6]
11. 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. [DOI:10.1080/14616710110120568]
12. Brady, R. R. (2011). Measuring the Diffusion of Housing Prices Across Space and Over Time. Journal of Applied Econometrics, 26(2), 213-231. [DOI:10.1002/jae.1118]
13. Brady, R. R. (2014). The Spatial Diffusion of Regional Housing Prices Across US States. Regional Science and Urban Economics, 46(1), 150-166. [DOI:10.1016/j.regsciurbeco.2014.04.003]
14. Buyst, E., & Helgers, R. (2013). The Ripple Effect and the Linguistic Border in Belgium: A Country Divided? Center for Economic Studies, Discussion Paper. [DOI:10.2139/ssrn.2287552]
15. Canarella, G., Miller, S., & Pollard, S. (2012). Unit Roots and Structural Change: An Application to US House Price Indices. Urban Studies, 49(4), 757-776. [DOI:10.1177/0042098011404935]
16. Case, K. E., Quigley, J. M., & Shiller, R. J. (2011). Wealth Effects Revisited 1978-2009. NBER Working Paper Series, Working Paper 16848. [DOI:10.3386/w16848]
17. Chen, P.-F., Chien, M.-S., & Lee, C.-C. (2011). Dynamic Modeling of Regional House Price Diffusion in Taiwan. Journal of Housing Economics, 20(4), 315-332. [DOI:10.1016/j.jhe.2011.09.002]
18. Chudik, A., & Pesaran, M. H. (2013). Econometric Analysis of High Dimensional VARs Featuring a Dominant Unit. Econometric Reviews, 32(5-6), 592-649. [DOI:10.1080/07474938.2012.740374]
19. Chudik, A., Pesaran, M. H., & Tosetti, E. (2011). Weak and Strong Cross‐Section Dependence and Estimation of Large Panels. The Econometrics Journal, 14(1), 45-90. [DOI:10.1111/j.1368-423X.2010.00330.x]
20. Cipollini, A., & Parla, F. (2020). Housing Market Shocks in Italy: A GVAR Approach. Journal of Housing Economics, 50, 101707. [DOI:10.1016/j.jhe.2020.101707]
21. Clapp, J. M., Dolde, W., & Tirtiroglu, D. (1995). Imperfect Information and Investor Inferences from Housing Price Dynamics. Real Estate Economics, 23(3), 239-269. [DOI:10.1111/1540-6229.00665]
22. Cohen, J. P., Ioannides, Y. M., & Thanapisitikul, W. W. (2016). Spatial Effects and House Price Dynamics in the USA. Journal of Housing Economics, 31(1), 1-13. [DOI:10.1016/j.jhe.2015.10.006]
23. Conley, T. G. (1999). GMM Estimation with Cross Sectional Dependence. Journal of Econometrics, 92(1), 1-45. [DOI:10.1016/S0304-4076(98)00084-0]
24. Conley, T. G., & Topa, G. (2002). Socio‐Economic Distance and Spatial Patterns in Unemployment. Journal of Applied Econometrics, 17(4), 303-327. [DOI:10.1002/jae.670]
25. Cook, S. (2003). The Convergence of Regional House Prices in the UK. Urban Studies, 40(11), 2285-2294. [DOI:10.1080/0042098032000123295]
26. Cook, S. (2005). Detecting Long‐Run Relationships in Regional House Prices in the UK. International Review of Applied Economics, 19(1), 107-118. [DOI:10.1080/0269217042000312632]
27. Cook, S., & Thomas, C. (2003). An Alternative Approach to Examining the Ripple Effect in UK House Prices. Applied Economics Letters, 10(13), 849-851. [DOI:10.1080/1350485032000143119]
28. Cotter, J., Gabriel, S., & Roll, R. (2011). Integration and Contagion in US Housing Markets. Ziman Center for Real Estate, Working Paper. [DOI:10.2139/ssrn.2017793]
29. Drake, L. (1995). Testing for Convergence between UK Regional House Prices. Regional Studies, 29(4), 357-366. [DOI:10.1080/00343409512331349023]
30. Egnell, E., & Öljemark, J. (2019). Spatial and Temporal Diffusion of House Prices in Sweden. Lund University School of Economics and Management.
31. George, E. I., Sun, D., & Ni, S. (2008). Bayesian Stochastic Search for VAR Model Restrictions. Journal of Econometrics, 142(1), 553-580. [DOI:10.1016/j.jeconom.2007.08.017]
32. Gibbons, S., & Overman, H. G. (2012). Mostly Pointless Spatial Econometrics? Journal of Regional Science, 52(2), 172-191. [DOI:10.1111/j.1467-9787.2012.00760.x]
33. Giussani, B., & Hadjimatheou, G. (1990). Econometric Modelling of UK House Prices. Cyprus Journal of Economics, 3(1), 36-57.
34. Gong, Y., Hu, J., & Boelhouwer, P. J. (2016). Spatial Interrelations of Chinese Housing Markets: Spatial Causality, Convergence and Diffusion. Regional Science and Urban Economics, 59(1), 103-117. [DOI:10.1016/j.regsciurbeco.2016.06.003]
35. Gordon, I. (1990). Housing and Labour Market Constraints on Migration Across the North-South Divide. Housing and the National Economy, 75-112.
36. Granger, C. W., & Lin, J.-L. (1995). Causality in the Long Run. Econometric Theory, 11(3), 530-536. [DOI:10.1017/S0266466600009397]
37. Grossman, S. J., & Stiglitz, J. E. (1976). Information and Competitive Price Systems. The American Economic Review, 246-253.
38. Halim, V., Ofulue, J., & Kwayu, D. (2020). The Implications of Global Oil Prices on Local Housing Markets: The Case of Canada and the United States. Social Science Research Network. [DOI:10.2139/ssrn.3621061]
39. Harbo, I., Johansen, S., Nielsen, B., & Rahbek, A. (1998). Asymptotic Inference on Cointegrating Rank in Partial Systems. Journal of Business & Economic Statistics, 16(4), 388-399. [DOI:10.1080/07350015.1998.10524779]
40. Hausman, J. A. (1978). Specification Tests in Econometrics. Econometrica: Journal of the Econometric Society, 1251-1271. [DOI:10.2307/1913827]
41. Holly, S., Pesaran, M. H., & Yamagata, T. (2010). A Spatio-Temporal Model of House Prices in the USA. Journal of Econometrics, 158(1), 160-173. [DOI:10.1016/j.jeconom.2010.03.040]
42. Holly, S., Pesaran, M. H., & Yamagata, T. (2011). The Spatial and Temporal Diffusion of House Prices in the UK. Journal of Urban Economics, 69(1), 2-23. [DOI:10.1016/j.jue.2010.08.002]
43. Holmans, A. (1990). House Prices: Changes through Time at National and Sub-National Level. Department of the Environment.
44. Holmes, M. J. (2007). How Convergent are Regional House Prices in the United Kingdom? Some New Evidence from Panel Data Unit Root Testing. Journal of Economic and Social Research, 9(1), 1-17.
45. Holmes, M. J., & Grimes, A. (2008). Is There Long-Run Convergence Among Regional House Prices in the UK? Urban Studies, 45(8), 1531-1544. [DOI:10.1177/0042098008091489]
46. Hviid, S. J. (2017). A Regional Model of the Danish Housing Market. Danmarks Nationalbank Working Papers, No. 121.
47. Jones, C., & Leishman, C. (2006). Spatial Dynamics of the Housing Market: An Interurban Perspective. Urban Studies, 43(7), 1041-1059. [DOI:10.1080/00420980600711316]
48. Khalili Eraghi, S. M., Komijani, A., Mehrara, M., & Azimi, S. R. (2013). The Relationship between Energy Intensity and Economic Efficiency in the Selected Countries Using GMM: An Application of DEA Window Analysis. Quarterly Journal of Economic Research and Policies, 21(67), 25-48. [In Farsi] [http://qjerp.ir/article-1-627-fa.html]
49. Khiabani, N. (2015). Oil Inflows and Housing Market Fluctuations in an Oil-Exporting Country: Evidence from Iran. Journal of Housing Economics, 30(1), 59-76. [DOI:10.1016/j.jhe.2015.10.002]
50. Khiabani, N., & Delfan, M. (2016). Oil Revenue Shocks and Reallocation of Economic Activities in an Oil Exporting Country; The Case of Iran. Planning and Budgeting, 21(3), 3-22. [In Farsi] [http://jpbud.ir/article-1-1426-fa.html]
51. Khiabani, N., & Shajari Pourjaberi, S. (2017). Boom-Bust Cycles in Iran's Housing Prices: An Ms-Var Approach. Planning and Budgeting, 22(1), 3-32. [In Farsi] [http://jpbud.ir/article-1-1505-fa.html] [DOI:10.61186/jpbud.28.1.3]
52. Kilian, L., & Zhou, X. (2022). The Propagation of Regional Shocks in Housing Markets: Evidence from Oil Price Shocks in Canada. Journal of Money, Credit and Banking, 54(4), 953-987. [DOI:10.1111/jmcb.12847]
53. Killins, R. N., Egly, P. V., & Escobari, D. (2017). The Impact of Oil Shocks on the Housing Market: Evidence from Canada and US. Journal of Economics and Business, 93(1), 15-28. [DOI:10.1016/j.jeconbus.2017.07.002]
54. Koop, G., & Korobilis, D. (2010). Bayesian Multivariate Time Series Methods for Empirical Macroeconomics. Foundations and Trends® in Econometrics, 3(4), 267-358. [DOI:10.1561/0800000013]
55. Kuethe, T. H., & Pede, V. O. (2011). Regional Housing Price Cycles: A Spatio-Temporal Analysis Using US State-Level Data. Regional Studies, 45(5), 563-574. [DOI:10.1080/00343400903497897]
56. Larson, W. D., & Zhao, W. (2020). Oil Prices and Urban Housing Demand. Real Estate Economics, 48(3), 808-849. [DOI:10.1111/1540-6229.12227]
57. Lean, H. H., & Smyth, R. (2013). Regional House Prices and the Ripple Effect in Malaysia. Urban Studies, 50(5), 895-922. [DOI:10.1177/0042098012459582]
58. 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. [DOI:10.3846/1648715X.2007.9637571]
59. MacDonald, R., & Taylor, M. P. (1993). Regional House Prices in Britain: Long‐Run Relationships and Short‐Run Dynamics. Scottish Journal of Political Economy, 40(1), 43-55. [DOI:10.1111/j.1467-9485.1993.tb00636.x]
60. Meen, G. (1996). Spatial Aggregation, Spatial Dependence and Predictability in the UK Housing Market. Housing Studies, 11(3), 345-372. [DOI:10.1080/02673039608720862]
61. Meen, G. (1999). Regional House Prices and the Ripple Effect: A New Interpretation. Housing Studies, 14(6), 733-753. [DOI:10.1080/02673039982524]
62. Motavasseli, M., Mohammadi, S., & Doroudeyan, H. (2010). Diffusion of House Price Dynamics in Tehran: Using Spatial Autoregressive and Vector Error-Correction Models. The Economic Research (Sustainable Growth and Development), 10(1), 113-131. [In Farsi] [http://ecor.modares.ac.ir/article-18-4934-fa.html]
63. Nanda, A., & Yeh, J.-H. (2014). Spatio-Temporal Diffusion of Residential Land Prices Across Taipei Regions. SpringerPlus, 3(1), 1-15. [DOI:10.1186/2193-1801-3-505] [PMID] []
64. Oikarinen, E. (2004). The Diffusion of Housing Price Movements from Center to Surrounding Areas. Journal of Housing Research, 15(1), 3-28. [DOI:10.1080/10835547.2004.12091958]
65. Olaussen, J. O., Oust, A., & Sønstebø, O. J. (2018). Bidding Behavior in the Housing Market Under Different Market Regimes. Journal of Risk and Financial Management, 11(3), 41. [DOI:10.3390/jrfm11030041]
66. Pesaran, M. H. (2007). A Pair-Wise Approach to Testing for Output and Growth Convergence. Journal of Econometrics, 138(1), 312-355. [DOI:10.1016/j.jeconom.2006.05.024]
67. Pesaran, M. H., & Tosetti, E. (2011). Large Panels with Common Factors and Spatial Correlation. Journal of Econometrics, 161(2), 182-202. [DOI:10.1016/j.jeconom.2010.12.003]
68. Pesaran, M. H., Schuermann, T., & Weiner, S. M. (2004). Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model. Journal of Business & Economic Statistics, 22(2), 129-162. [DOI:10.1198/073500104000000019]
69. Pesaran, M. H., Shin, Y., & Smith, R. J. (2000). Structural Analysis of Vector Error Correction Models with Exogenous I (1) Variables. Journal of Econometrics, 97(2), 293-343. [DOI:10.1016/S0304-4076(99)00073-1]
70. Pinkse, J., & Slade, M. E. (2010). The Future of Spatial Econometrics. Journal of Regional Science, 50(1), 103-117. [DOI:10.1111/j.1467-9787.2009.00645.x]
71. Pollakowski, H. O., & Ray, T. S. (1997). Housing Price Diffusion Patterns at Different Aggregation Levels: An Examination of Housing Market Efficiency. Journal of Housing Research, 8(1), 107-124.
72. Ramajo, J., Márquez, M. A., & Hewings, G. J. (2017). Spatiotemporal Analysis of Regional Systems: A Multiregional Spatial Vector Autoregressive Model for Spain. International Regional Science Review, 40(1), 75-96. [DOI:10.1177/0160017615571586]
73. Ranjbar, O., Gholipour, H. F., Saboori, B., & Chang, T. (2022). Tehran's House Price Ripple Effects in Iran: Application of Bootstrap Asymmetric Panel Granger Non-Causality in the Frequency Domain. Housing Studies, 37(9), 1566-1597. [DOI:10.1080/02673037.2020.1853072]
74. Shi, S., Young, M., & Hargreaves, B. (2009). The Ripple Effect of Local House Price Movements in New Zealand. Journal of Property Research, 26(1), 1-24. [DOI:10.1080/09599910903289880]
75. Sila, U. (2020). The Drivers of Norway's House Prices. OECD Economics Department Working Papers No. 1599.
76. Stevenson, S. (2004). House Price Diffusion and Inter‐Regional and Cross‐Border House Price Dynamics. Journal of Property Research, 21(4), 301-320. [DOI:10.1080/09599910500151228]
77. Taleblou, R., Mohammadi, T., & Pirdayeh, H. (2017). Analysis of Spatial Diffusion of Housing Price Changes in Iranian Provinces; Spatial Econometrics Approach. Economics Research, 17(66), 55-95. [In Farsi] [DOI:10.22054/joer.2017.8202]
78. Teye, A. L., & Ahelegbey, D. F. (2017). Detecting Spatial and Temporal House Price Diffusion in the Netherlands: A Bayesian Network Approach. Regional Science and Urban Economics, 65(1), 56-64. [DOI:10.1016/j.regsciurbeco.2017.04.005]
79. Teye, A. L., Knoppel, M., de Haan, J., & Elsinga, M. G. (2017). Amsterdam House Price Ripple Effects in The Netherlands. Journal of European Real Estate Research, 10(3), 331-345. [DOI:10.1108/JERER-11-2016-0041]
80. Van Dijk, B., Franses, P. H., Paap, R., & Van Dijk, D. (2011). Modelling Regional House Prices. Applied Economics, 43(17), 2097-2110. [DOI:10.1080/00036840903085089]
81. Vansteenkiste, I., & Hiebert, P. (2011). Do House Price Developments Spillover Across Euro Area Countries? Evidence from a Global VAR. Journal of Housing Economics, 20(4), 299-314. [DOI:10.1016/j.jhe.2011.08.003]
82. Vega, S. H., & Elhorst, J. P. (2016). A Regional Unemployment Model Simultaneously Accounting for Serial Dynamics, Spatial Dependence and Common Factors. Regional Science and Urban Economics, 60(1), 85-95. [DOI:10.1016/j.regsciurbeco.2016.07.002]
83. Wu, D.-M. (1973). Alternative Tests of Independence between Stochastic Regressors and Disturbances. Econometrica: Journal of the Econometric Society, 41(4), 733-750. [DOI:10.2307/1914093]
84. Yang, C. F. (2021). Common Factors and Spatial Dependence: An Application to US House Prices. Econometric Reviews, 40(1), 14-50. [DOI:10.1080/07474938.2020.1741785]
85. Yang, Z., & Turner, B. (2016). Shock Hunting: Effects of Regional-Dependent, Regional-Specific Shocks in the Swedish Property Market. Housing, Theory and Society, 33(2), 178-194. [DOI:10.1080/14036096.2015.1119721]
86. Zali, S., Pahlavani, P., & Bigdeli, B. (2023). A Spatial-Temporal Analysis of the Factors Effective on Housing Prices (Case Study: District 5 of Tehran Municipality). Town and Country Planning, 15(1), 115-130. [In Farsi] [DOI:10.22059/jtcp.2022.341584.670318]
87. Zhang, L., Li, T., Ma, C., & Wen, H. (2020). Measuring the Spatial and Temporal Diffusion of Urban House Prices in East China. Journal of Urban Planning and Development, 146(2), 04020017. [DOI:10.1061/(ASCE)UP.1943-5444.0000572]
88. Zhu, B., Füss, R., & Rottke, N. B. (2013). Spatial Linkages in Returns and Volatilities Among US Regional Housing Markets. Real Estate Economics, 41(1), 29-64. [DOI:10.1111/j.1540-6229.2012.00337.x]
89. مرکز آمار ایران (1399). سالنامه آماری کشور. انتشارات مرکز آمار ایران.
بازنشر اطلاعات
Creative Commons License این مقاله تحت شرایط Creative Commons Attribution 4.0 International License قابل بازنشر است.

کلیه حقوق این وب سایت متعلق به فصلنامه برنامه ریزی و بودجه می باشد.

طراحی و برنامه نویسی : یکتاوب افزار شرق

© 2024 CC BY-NC 4.0 | Planning and Budgeting

Designed & Developed by : Yektaweb