@article{ART001912833},
author={Hangyong Lee and Jin Lee},
title={Spillover Effects of Apartment Housing Prices across Cities: A Generalized Forecast Error Variance Decomposition for Seven Large Cities},
journal={The Korea Spatial Planning Review},
issn={1229-8638},
year={2014},
volume={82},
pages={3-15},
doi={10.15793/kspr.2014.82..001}
TY - JOUR
AU - Hangyong Lee
AU - Jin Lee
TI - Spillover Effects of Apartment Housing Prices across Cities: A Generalized Forecast Error Variance Decomposition for Seven Large Cities
JO - The Korea Spatial Planning Review
PY - 2014
VL - 82
IS - null
PB - 국토연구원
SP - 3
EP - 15
SN - 1229-8638
AB - This study examines spillover effects of apartment housing prices across seven large cities in Korea. Unlike the previous studies, we measure total spillover index, directional spillovers, and net spillovers in a systematic and comprehensive way under the generalized forecast error variance decomposition framework which is invariant to the variable ordering. The empirical results show that over 50% of total variability of apartment housing prices are explained by the spillover effects, suggesting that the apartment housing market is fairly interconnected across regions. The subsample results and the rolling regression analysis show that the direction of spillover has changed. In the 1986-1999 sample period, the spillovers from non-capital regions appear to be stronger, while the spillovers within the capital area and the spillovers from capital area to non-capital area have increased since 2000.
KW - Spillover Effect;Apartment Housing Price;Generalized Forecast Error Variance Decomposition;Capital Area
DO - 10.15793/kspr.2014.82..001
ER -
Hangyong Lee and Jin Lee. (2014). Spillover Effects of Apartment Housing Prices across Cities: A Generalized Forecast Error Variance Decomposition for Seven Large Cities. The Korea Spatial Planning Review, 82, 3-15.
Hangyong Lee and Jin Lee. 2014, "Spillover Effects of Apartment Housing Prices across Cities: A Generalized Forecast Error Variance Decomposition for Seven Large Cities", The Korea Spatial Planning Review, vol.82, pp.3-15. Available from: doi:10.15793/kspr.2014.82..001
Hangyong Lee, Jin Lee "Spillover Effects of Apartment Housing Prices across Cities: A Generalized Forecast Error Variance Decomposition for Seven Large Cities" The Korea Spatial Planning Review 82 pp.3-15 (2014) : 3.
Hangyong Lee, Jin Lee. Spillover Effects of Apartment Housing Prices across Cities: A Generalized Forecast Error Variance Decomposition for Seven Large Cities. 2014; 82 3-15. Available from: doi:10.15793/kspr.2014.82..001
Hangyong Lee and Jin Lee. "Spillover Effects of Apartment Housing Prices across Cities: A Generalized Forecast Error Variance Decomposition for Seven Large Cities" The Korea Spatial Planning Review 82(2014) : 3-15.doi: 10.15793/kspr.2014.82..001
Hangyong Lee; Jin Lee. Spillover Effects of Apartment Housing Prices across Cities: A Generalized Forecast Error Variance Decomposition for Seven Large Cities. The Korea Spatial Planning Review, 82, 3-15. doi: 10.15793/kspr.2014.82..001
Hangyong Lee; Jin Lee. Spillover Effects of Apartment Housing Prices across Cities: A Generalized Forecast Error Variance Decomposition for Seven Large Cities. The Korea Spatial Planning Review. 2014; 82 3-15. doi: 10.15793/kspr.2014.82..001
Hangyong Lee, Jin Lee. Spillover Effects of Apartment Housing Prices across Cities: A Generalized Forecast Error Variance Decomposition for Seven Large Cities. 2014; 82 3-15. Available from: doi:10.15793/kspr.2014.82..001
Hangyong Lee and Jin Lee. "Spillover Effects of Apartment Housing Prices across Cities: A Generalized Forecast Error Variance Decomposition for Seven Large Cities" The Korea Spatial Planning Review 82(2014) : 3-15.doi: 10.15793/kspr.2014.82..001
