On Choosing Among House Price Index Methodologies

This paper compares housing price indices estimated using three models with several sets of property transaction data. The commonly used hedonic price model suffers from potential specification bias and inefficiency, while the weighted repeat-sales model presents potentially more serious bias and inefficiency problems. A hybrid model combining hedonic and repeat-sales equations avoids most of these sources of bias and inefficiency. This paper evaluates the performance of each type of model using a particularly rich local housing market database. The results, though ambiguous, appear to confirm the problems with the repeat sales model but suggest that systematic differences between repeat-transacting and single-transacting properties lead to bias in the hedonic and hybrid models as well. Copyright American Real Estate and Urban Economics Association.

Cross-city spillovers in Chinese housing markets: From a city network perspective

Cross-city spillovers among housing markets are usually modelled by the classical spatial autoregressive models, which usually suffer from identification problems in practice. This paper investigates the cross-city house price spillovers arising from city network externalities wherein a city's connections with other cities in the urban network create the external house price premium through productivity and amenity gains. Using a cross-sectional data set for an urban system in eastern China, we present significant evidence for positive network spillovers by the application of spatial lag of X model and spatial Durbin error model. Besides, common shocks are also proved to be responsible for cross-city dependence of house prices.Accepted Author ManuscriptHousing System

Asymmetric effects of monetary policy shocks across US states

This paper provides new empirical evidence of the asymmetric effects of monetary policy shocks across regions. Using a measure of unanticipated changes in the Fed's policy rates over the period 1969Q3–2008Q4 and a local projection method extended to account for spatial effects, we find that monetary policy tightening leads to a long-lasting decrease in states' real personal income, with asymmetric effects across states that are amplified by spatial spillovers. The paper then investigates the role played by several transmission channels finding larger contractionary effects of monetary policy tightening in states with higher manufacturing share, smaller firms, smaller banks and higher house prices