Contagion and Spillover Effects in the Dutch Regional House Prices: A Network Approach
Download Document| Date Published | 2016 |
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| Primary Author | Alfred Larm Teye and Daniel Felix Ahelegbey |
| Other Authors | |
| Theme | |
| Country | Netherlands |
Abstract
Identification of the dominant regional housing markets enables the tracking of risk contagion and spillover effects in the broader nation-wide residential property market. This paper uses state of the art network modelling techniques called Bayesian graphical vector autoregression (BG-VAR) and quarterly time series data between 1995Q1 and 2015Q2 to investigate the inter-connectedness of the development of house prices in the twelve Dutch regional housing markets. This method enables us to identify the most domineering provincial sub-markets and possible spillover effects. The analysis is performed using a rolling window of 20 quarters so as to track the changes in the inter relationships over time. Distinctions are particularly made in the periods prior and after the global financial crisis in 2007/2008. The results consistently show that Noord-Holland is one of the central housing market and volatility in house prices from there could potentially spread to the other regions.