A Pair-Wise Analysis of Intra-City Price Convergence within the Paris Housing Market

Posted: 16 Jan 2017

See all articles by Mark J. Holmes

Mark J. Holmes

University of Waikato - Management School, Department of Economics

Jesús Otero

Independent

Theodore Panagiotidis

University of Macedonia - Department of Economics

Date Written: January 13, 2017

Abstract

We examine long-run house price convergence across the twenty Paris districts using a quarterly dataset that spans from 1991 to 2014. Our approach is based on two stages. In the first stage, we apply methods of unit root testing. Our econometric modelling exercise adopts a pair wise approach that is built on a probabilistic test for convergence based on all house price differentials across the Paris districts. We find that more than 50% of the intra-city house price differentials that can be computed are stationary. In the second stage of our investigation, we analyse the drivers of convergence. The probability of stationary is negatively affected by unemployment differentials across districts, demographics differentials and supply-side characteristics. Our findings further reveal that the half-life of a shock to long-run price equilibrium is affected positively by unemployment, distance and housing supply. Our analysis suggests that smaller distances between Parisian districts are associated with a faster speed of adjustment back towards long-run equilibrium.

Keywords: Pair-wise, house prices, cointegration, speed of adjustment

JEL Classification: C2, C3, R1, R2, R3

Suggested Citation

Holmes, Mark J. and Otero, Jesús and Panagiotidis, Theodore, A Pair-Wise Analysis of Intra-City Price Convergence within the Paris Housing Market (January 13, 2017). Journal of Real Estate Finance and Economics, Vol. 54, No. 1, 2017, Available at SSRN: https://ssrn.com/abstract=2898928

Mark J. Holmes (Contact Author)

University of Waikato - Management School, Department of Economics ( email )

Hamilton
New Zealand

Jesús Otero

Independent

No Address Available
United States

Theodore Panagiotidis

University of Macedonia - Department of Economics ( email )

Thessaloniki, 54006
Greece

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