Asymmetric Behaviour of Spanish Regional House Prices: A Multivariate Approach

The real estate market generates much literature because it is an issue of utmost importance. The rise in house prices is one of the issues that has raised a great deal of concern among the general public. This paper analyzes the asymmetric behaviour of real house prices among Spanish regions, using univariate and multivariate techniques to study their long-run relationships. Results indicate some evidence of cointegration, which suggests a broad grouping of regions based on physical proximity or similar economic characteristics. The Johansen cointegration test reveals the region that has the greatest influence on long-run equilibrium among those with whom it shares a border.