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dc.contributor.authorHolly, Seanen_US
dc.contributor.authorPesaran, Mohammad Hashemen_US
dc.contributor.authorYamagata, Takashien_US
dc.description.abstractThis paper provides a method for the analysis of the spatial and temporal diffusion of shocks in a dynamic system. We use changes in real house prices within the UK economy at the level of regions to illustrate its use. Adjustment to shocks involves both a region specific and a spatial effect. Shocks to a dominant region - London - are propagated contemporaneously and spatially to other regions. They in turn impact on other regions with a delay. We allow for lagged effects to echo back to the dominant region. London in turn is influenced by international developments through its link to New York and other financial centers. It is shown that New York house prices have a direct effect on London house prices. We analyse the effect of shocks using generalised spatio-temporal impulse responses. These highlight the diffusion of shocks both over time (as with the conventional impulse responses) and over space.en_US
dc.publisher|aInstitute for the Study of Labor (IZA) |cBonnen_US
dc.relation.ispartofseries|aIZA Discussion Papers |x4694en_US
dc.subject.keywordHouse pricesen_US
dc.subject.keywordcross sectional dependenceen_US
dc.subject.keywordspatial dependenceen_US
dc.titleSpatial and temporal diffusion of house prices in the UKen_US
dc.type|aWorking Paperen_US

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