Housing prices: an analysis of the dynamics of italian market development

Abstract

Considering the time series of house prices at regional level in this article we present a study on the dynamics of house prices in Italy at both short and long term. In the short run, we analyse real house price appreciation in order to investigate the existence of a common national impact, a city specific fixed effects and the persistence parameters with the aim to investigate co-movements among the regional time series. For the long run, we propose a preliminary analysis on the existence of a “convergence” process among Italian regional house prices series. From the empirical point of view we implement, for both periods, a principal components technique and a panel data model using a time series (from the first half year 2000 to second half year 2011) of a cross section (19 regions) released by Real Estate Market Observatory belonging to the Italian Revenue Agency. At this level of analysis, the results show the existence of a common trend among the series of house prices although, for many regions, there are a significant local fixed effects. Finally, the long term convergence analysis of house prices appreciation is not fully showed by the statistical procedures.

Keywords

• house prices
• co-movements
• convergence
• panel data
• principal components