Diffusion and Risks of House Prices in the Netherlands

  • Alfred Larm Teye TU Delft, Architecture and the Built Environment


The rate of home-ownership has increased significantly in many countries over the past decades. One motivating factor for this increase has been the creation of wealth through the accumulation of housing equity, which also forms the basic tenet of the asset-based welfare system.

In generating the home equity, house price developments play an important role. Generally, house prices show an increasing trend over long time period, however, there are short-term negative appreciations that may have inherent risks for the housing equity. Following the 2007-08 Global Financial Crisis (GFC), for example, the collapse of house prices has caused many recent home buyers to run into negative equity.

Some housing researchers and experts have suggested that a better understanding of the spatial diffusion mechanisms of house prices will aid resuscitating the housing market after the GFC. Others also advocated adopting insurance schemes to protect the home equity that yields the welfare benefits. Unfortunately, however, little research insight exists on the Dutch house price diffusion process, although there are empirical results for countries such as the UK, US and China, where the contexts differ from the Netherlands. Furthermore, the current existing home-value insurance scheme in the literature is found to be less efficient and eliminates only up to 50% of the house price risks.

This dissertation covers important aspects of house price diffusion and risks in the Netherlands. The aim is to better understand the diffusion mechanism and the risks of house prices, while it also contributes to the measurement of these housing risks. More specifically, there are three objectives: first, to discover the diffusion mechanism of house prices in the Netherlands and the pattern particularly from the capital Amsterdam; second, to examine the spatial distribution of the house price risk; and third, to investigate the efficiency of the index-based home-value insurance for reducing the house price risk in the Dutch context.

The diffusion mechanism relates to the so-called ripple or spillover effect, for which movements of house prices in one location temporarily or permanently spread over their influence to other regions. The risks analyses capture the probability of selling the residential property below the purchase price. The index-based home-value insurance scheme is concerned with the reduction of the house price risk, while its efficiency and loss coverage are analysed.

The contributions of the dissertation are specifically elaborated in five chapters. The chapters are self-contained, four of them having been published separately in international journals and the other being currently under review.

Chapter 2 is a literature study that presents the general trend and an overview of the risks in home-ownership. It particularly discusses the government mortgage guarantee and tax deduction, among other factors, which contribute to home-ownership in the Netherlands. Mortgage default risk and house price risk, which are the two important risks from the perspective of the home-owners are also discussed in the context of the Dutch market.

Chapter 3 investigates the house price diffusion mechanism between the twelve provinces in the Netherlands. The methodology adopts a new Bayesian graphical approach which enables a data-driven identification of the important regions where the diffusion may predominantly emerge. Using quarterly house price indexes, the findings suggest that house price diffusion exists in the Netherlands with a pattern varying over the period of time. Focusing specifically on the period prior to the 2007-2008 Global Financial Crisis (GFC), the house price diffusion predominantly originated from Noord-Holland.

House prices in Amsterdam – the capital and an important economic hub of the Netherlands, are more likely to diffuse to other parts of the country. Thus in Chapter 4, attention is paid to the house price diffusion pattern from the capital Amsterdam to the other Dutch regional housing markets. The Granger causality and cointegration techniques are used, while controlling for the important house price fundamentals. The results suggest a possible house price diffusion existing from Amsterdam to all regions in the Netherlands except for Zeeland. The strongest long-run impact of Amsterdam house price diffusion potentially occur in Utrecht.

As one of the largest and most dynamic in the Netherlands, the Amsterdam housing market is itself an interesting case study. One part of Chapter 5, therefore, deals with the diffusion pattern by studying the spatial interrelationships between house prices in Amsterdam. The other part of the chapter studies the house price risks. Using the Granger causality test, a general causal flow of house prices is observed from the central business districts to the peripherals. Simple statistics similarly reveal that house prices grow faster and are more risky in the central business districts than those on the peripherals of the city.

Chapter 6 is concerned with the efficiency and loss coverage of the index-based home-value insurance scheme. It proposes a modification of the index-based home-value insurances policy, which seeks to reduce the large idiosyncratic residual house price risks. The modification uses aggregate measures of the reference index. Using the hedonic and repeated sales indexes, the empirical analysis suggests the proposed modified scheme is highly efficient and may eliminate up to 70% of the residual risks.

In general, the dissertation adopts innovative empirical methodological approach that combines standard statistical analyses and more recent and complex econometric modelling techniques in the study of the diffusion and risks of house prices in the Netherlands. The application of the graphical approach to the study of diffusions particularly in Chapter 3, is the first of its kind in the context of the housing market.

Furthermore, this dissertation is among the first to entirely provide a comprehensive analysis and the much needed body of knowledge regarding the house price diffusion and risks for the highly regulated Dutch housing market. The results have important policy implications and applications for households, commercial investors and financial institutions in the Netherlands. The results may also generally apply and replicable in other countries and economies with similar housing market conditions.


Aalbers, M. B., 2008. The financialization of home and the mortgage market crisis. competition & change 12 (2), 148–166.

Aalbers, M. B., 2009a. Geographies of the financial crisis. Area 41 (1), 34–42.

Aalbers, M. B., 2009b. The Sociology and Geography of Mortgage Markets: Reflections on the Financial Crisis. International Journal of Urban and Regional Research 33 (2), 281–290.

Aalbers, M. B., 2010. The american nightmare: the contribution of the mortgage market. In: Doling, J. F., Elsinga, M. G., Ronald, R. (Eds.), Home Ownership: Getting in, Getting Out Part III. IOS Press, Amsterdam, Ch. 9, pp. 155–170.

Aalbers, M. B., 2015. The great moderation, the great excess and the global housing crisis. International Journal of Housing Policy 15 (1), 43–60.

Abraham, J. M., Hendershott, P. H., 1994. Bubbles in metropolitan housing markets. Tech. rep., National Bureau of Economic Research.

Abraham, J. M., Hendershott, P. H., 1996. Bubbles in metropolitan housing markets. Journal of housing research 7 (2), 191–207.

Accetturo, A., Manaresi, F., Mocetti, S., Olivieri, E., 2014. Don’t stand so close to me: the urban impact of immigration. Regional Science and Urban Economics 45, 45–56.

Acerbi, C., Tasche, D., 2002. Expected shortfall: a natural coherent alternative to value at risk. Economic notes 31 (2), 379–388.

Agnello, L., Castro, V., Sousa, R. M., 2015. Booms, busts, and normal times in the housing market. Journal of Business & Economic Statistics 33 (1), 25–45.

Agnello, L., Schuknecht, L., 2011. Booms and busts in housing markets: determinants and implications. Journal of Housing Economics 20 (3), 171–190.

Ahelegbey, D. F., 2016. The Econometrics of Bayesian Graphical Models: A Review With Financial Application. Journal of Network Theory in Finance 2, 1–33.

Ahelegbey, D. F., Billio, M., Casarin, R., 2016a. Bayesian Graphical Models for Structural Vector Autoregressive Processes. Journal of Applied Econometrics 31 (2), 357–386.

Ahelegbey, D. F., Billio, M., Casarin, R., 2016b. Sparse Graphical Vector Autoregression: A Bayesian Approach. Annals of Economics and Statistics (123/124), 333–361.

Ambrose, B. W., Eichholtz, P., Lindenthal, T., 2013. House prices and fundamentals: 355 years of evidence. Journal of Money, Credit and Banking 45 (2/3), 477–491.

Amsterdam, G., 2013. Amsterdam in cijfers 2013. Bureau Onderzoek en Statistiek, Gemeente Amsterdam.

Andrews, D., 2010. Real house prices in oecd countries: The role of demand shocks and structural and policy factors. Tech. rep., OECD Publishing.

Andrews, D., Sánchez, A. C., 2011. The evolution of homeownership rates in selected oecd countries: Demographic and public policy influences. OECD Journal: Economic Studies 2011 (1), 1–37.

Aue, A., Horváth, L., 2013. Structural breaks in time series. Journal of Time Series Analysis 34 (1), 1–16.

Bai, J., Perron, P., 1998. Estimating and Testing Linear Models with Multiple Structural Changes. Econometrica 66 (1), 47–78.

Bai, J., Perron, P., 2003. Computation and Analysis of Multiple Structural Change Models. Journal of Applied Econometrics 18 (1), 1–22.

Bailey, M. J., Muth, R. F., Nourse, H. O., 1963. A regression method for real estate price index construction. Journal of the American Statistical Association 58 (304), 933–942.

Baker, D., 2008. The Housing Bubble and The Financial Crisis. Real-world economics review 46 (5), 73–81.

Balcilar, M., Beyene, A., Gupta, R., Seleteng, M., 2013. Ripple Effects in South African House Prices. Urban Studies 50 (5), 876–894.

Banks, J., Blundell, R., Oldfield, Z., Smith, J. P., 2015. House price volatility and the housing ladder. In: Insights in the Economics of Aging. University of Chicago Press.

Bardhan, A., Edelstein, R., Kroll, C., 2011. Global Housing Markets: Crises, Policies and Institutions. Vol. 17. John Wiley & Sons.

Bardhan, A., Edelstein, R., Kroll, C., 2012. Global housing markets: Crises, policies, and institutions. Vol. 17. John Wiley & Sons.

Bekaert, G., Harvey, C. R., 2003. Market integration and contagion. Tech. rep., National Bureau of Economic Research.

Benzi, M., Estrada, E., Klymko, C., 2013. Ranking Hubs and Authorities Using Matrix Functions. Linear Algebra and its Applications 438 (5), 2447–2474.

Berg, L., 2002. Prices on the second-hand market for swedish family houses: correlation, causation and determinants. European Journal of Housing Policy 2 (1), 1–24.

Billio, M., Getmansky, M., Lo, A. W., Pelizzon, L., 2012. Econometric measures of connectedness and systemic risk in the finance and insurance sectors. Journal of Financial Economics 104 (3), 535–559.

Blanchard, O., Dell’Ariccia, G., Mauro, P., 2010. Rethinking macroeconomic policy. Journal of Money, Credit and Banking 42 (s1), 199–215.

Boelhouwer, P., 2014. Financial Institutions have Owner-occupancy in a Stranglehold: An Explanation for the Recession in the Dutch Housing Market. Tech. rep., Delft University of Technology, OTB Research Institute for the Built Environment.

Boelhouwer, P., Doling, J., Elsinga, M., 2005. Home ownership. Getting in, getting from, getting out. DUP Science, Delft.

Boelhouwer, P., Haffner, M., Neuteboom, P., , P., 2004. House Prices and Income Tax in the Netherlands: An International Perspective. Housing Studies 19 (3), 415–432.

Boelhouwer, P., Neuteboom, P., 2003. The netherlands. In: Doling, J., Ford, J. (Eds.), Globalisation and Home Ownership: Experiences in Eight Member States of the European Union. Delft University Press, Delft, Ch. 6, pp. 118–140.

Boelhouwer, P., Van Weesep, J., 1988. Financial repercussions of the sale of public housing in the netherlands. Housing Studies 3 (3), 183–189.

Boelhouwer, P. J., 2002. Capital Accumulation via Homeownership: The Case of the Netherlands. European Journal of Housing Policy 2 (2), 167–181.

Boterman, W. R., Karsten, L., Musterd, S., 2010. Gentrifiers settling down? patterns and trends of residential location of middle-class families in amsterdam. Housing Studies 25 (5), 693–714.

Brady, R. R., 2014. The Spatial Diffusion of Regional Housing Prices across US States. Regional Science and Urban Economics 46, 150–166.

Brounen, D., Eichholtz, P., 2012. House prices and market institutions: The dutch experience. In: Bardhan, A., Edelstein, R., Kroll, C. (Eds.), Global Housing Markets: Crises, Policies, and Institutions. Wiley Online Library, pp. 135–155.

Buyst, E., Helgers, R., 2013. The ripple effect and the linguistic border in belgium: a country divided?

Canarella, G., Miller, S., Pollard, S., 2012. Unit Roots and Structural Change an Application to US House Price Indices. Urban Studies 49 (4), 757–776.

Cano Fuentes, G., Etxezarreta Etxarri, A., Dol, K., Hoekstra, J., 2013. From housing bubble to repossessions: Spain compared to other west european countries.
Housing Studies 28 (8), 1197–1217.

Case, K. E., Shiller, R. J., 1987. Prices of single family homes since 1970: New indexes for four cities.

Case, K. E., Shiller, R. J., 1988. The behavior of home buyers in boom and post-boom markets. Tech. rep., National Bureau of Economic Research, Cambridge, USA.

Case, K. E., Shiller, R. J., 2003. Is there a bubble in the housing market? Brookings papers on economic activity 2003 (2), 299–342.

Case Jr, K. E., Shiller, R. J., Weiss, A. N., 1993. Index-based futures and options markets in real estate. The Journal of Portfolio Management 19 (2), 83–92.

Castro, C., Ferrari, S., 2014. Measuring and testing for the systemically important financial institutions. Journal of Empirical Finance 25, 1–14.

Cecchetti, S. G., 2006. The brave new world of central banking: the policy challenges posed by asset price booms and busts. National Institute Economic Review working paper series, volume = 196, No. 1.

Chan, S., 2001. Spatial lock-in: Do falling house prices constrain residential mobility? Journal of urban Economics 49 (3), 567–586.

Chan, S., Haughwout, A., Hayashi, A., Van der Klaauw, W., 2016. Determinants of mortgage default and consumer credit use: the effects of foreclosure laws and foreclosure delays. Journal of Money, Credit and Banking 48 (2-3), 393–413.

Chen, P.-F., Chien, M.-S., Lee, C.-C., 2011. Dynamic modeling of regional house price diffusion in taiwan. Journal of Housing Economics 20 (4), 315–332.

Chien, M.-S., 2010. Structural breaks and the convergence of regional house prices. The Journal of Real Estate Finance and Economics 40 (1), 77–88.

Colin, J., Richardson, H. W., 2014. Housing markets and policy in the uk and the usa: A review of the differential impact of the global housing crisis. International Journal of Housing Markets and Analysis 7 (1), 129–144.

Connor, G., Flavin, T., 2015. Strategic, unaffordability and dual-trigger default in the irish mortgage market. Journal of Housing Economics 28, 59–75.

Cook, S., 2003. The Convergence of Regional House Prices in the UK. Urban Studies 40 (11), 2285–2294.

Cook, S., 2005. Detecting Long-run Relationships in Regional House Prices in the UK. International Review of Applied Economics 19 (1), 107–118.

Cook, S., 2006. A disaggregated analysis of asymmetrical behaviour in the uk housing market. Urban Studies 43 (11), 2067–2074.

Cotter, J., Gabriel, S. A., Roll, R., 2011. Integration and Contagion in US Housing Markets. Available at SSRN 2017793.

CPB, 2013. The dutch housing market – mortgage interest rates, house prices and consumption. Communication of The Netherlands Bureau for Economic Policy Analysis (CPB), The Hague.

Crouhy, M., 2010. Risk management failures during the financial crisis. In: Kolb, R. W. (Ed.), Lessons from the Financial Crisis: Causes, Consequences, and Our Economic Future. John Wiley Sons, New Jersey, Ch. 36, pp. 283–292.

Crouhy, M., Galai, D., Mark, R., 2006. The essentials of risk management. Vol. 1. McGraw-Hill New York.

De Decker, P., Dewilde, C., 2010. Home-ownership and asset-based welfare: the case of belgium. Journal of Housing and the Built Environment 25 (2), 243–262.

de Haan, J., Diewert, W., 2013. Handbook on Residential Property Price Indices (RPPIs). Eurostat.

de Haan, J., van der Wal, E., de Vries, P., 2009. The measurement of house prices: A review of the sale price appraisal ratio method. Journal of Economic and Social Measurement 34 (2, 3), 51–86.

De Haan, L., Sterken, E., et al., 2005. Asymmetric price adjustment in the dutch mortgage market. Tech. rep., Research Department, Netherlands Central Bank.

De Jong, P. A., Brouwer, A. E., McCann, P., 2016. Moving up and down the urban hierarchy: age-articulated interregional migration flows in the netherlands. The Annals of Regional Science, 1–20.

De Vries, P., 2010. Measuring and explaining house price developments. Vol. 36. IOS Press.

De Vries, P., de Haan, J., Van der Wal, E., Mariën, G., 2009. A House Price Index Based on the SPAR Method. Journal of housing economics 18 (3), 214–223.

Dickey, D. A., Fuller, W. A., 1979. Distribution of the Estimators for Autoregressive Time Series with a Unit Root. Journal of the American Statistical Association
74 (366a), 427–431.

Diewert, W. E., 2010. Alternative approaches to measuring house price inflation. Tech. rep., Discussion Paper 10-10, Department of Economics, The University of British Columbia, Vancouver, Canada, V6T 1Z1.

DiPasquale, D., 1999. Why don’t we know more about housing supply? The Journal of Real Estate Finance and Economics 18 (1), 9–23.

DNB, 2014. Overview of financial stability in the netherlands. De Nederlandsche Bank (DNB) report 19.

Dol, K., Van der Heijden, H., Oxley, M., 2010. Crisis and policy interventions in western european housing markets: do specific housing systems reduce the impact of the crisis? In: Comparative housing research: approaches and policy challenges in a new international era, Delft, The Netherlands, March 24-25, 2010. Delft University of Technology, OTB Research Institute for Housing, Urban and Mobility Studies.

Dolde, W., Tirtiroglu, D., 2002. Housing price volatility changes and their effects. Real Estate Economics 30 (1), 41–66.

Doling, J., Elsinga, M., Ronald, R., 2010. Home ownership. getting in, getting from, getting out. part iii.

Doling, J., Ronald, R., 2010. Home ownership and asset-based welfare. Journal of housing and the built environment 25 (2), 165–173.

Doling, J. F., Elsinga, M., 2006. Home ownership: getting in, getting from, getting out. Vol. 30. Ios Press, Amsterdam.

Droes, M., Hassink, W. H., et al., 2010. Sale price risk and the hedging benefits of homeownership. Tjalling C. Koopmans Institute Discussion Paper Series 10 (10).

Dröes, M. I., 2011. House price uncertainty in the dutch owner-occupied housing market. Ph.D. thesis, Utrecht University School of Economics.

Dröes, M. I., Hassink, W. H., 2013. House price risk and the hedging benefits of home ownership. Journal of Housing Economics 22 (2), 92–99.

Dubin, R. A., 1992. Spatial Autocorrelation and Neighborhood Quality. Regional Science and Urban Economics 22 (3), 433–452.

Duca, J. V., Muellbauer, J., Murphy, A., 2010. Housing markets and the financial crisis of 2007–2009: lessons for the future. Journal of Financial Stability 6 (4), 203–217.

Duranton, G., Henderson, J. V., Strange, C. W., 2015. Handbook of regional and urban economics. Vol. 5A. Elsevier.

Eichler, M., 2007. Granger Causality and Path Diagrams for Multivariate Time Series. Journal of Econometrics 137 (2), 334–353.

Elhorst, J. P., 2014. Spatial Panel Models. In: Handbook of Regional Science. Springer, pp. 1637–1652.

Elsinga, M., 1998. The meaning of tenure under different conditions; empirical evidence from the netherlands. Journal of Housing and the Built Environment 13 (2), 137–155.

Elsinga, M., 2003. Encouraging low income home ownership in the netherlands; policy aims, policy instruments and results. In: ENHR-conference.

Elsinga, M., 2008. Home ownership beyond asset and security: Perceptions of housing related security and insecurity in eight European countries. Vol. 32. IOS Press.

Elsinga, M., Hoekstra, J., 2005. Homeownership and housing satisfaction. Journal of Housing and the Built Environment 20 (4), 401–424.

Elsinga, M., Mandič, S., 2010. Housing as a piece in the old-age puzzle. Teorija in praksa 47 (5), 940–658.

Elsinga, M., Priemus, H., Boelhouwer, P., 2014. Milestones in housing finance in the netherlands, 1988–2013. In: Stephens, M. (Ed.), eBook of abstracts: European Network for Housing Research Conference – Beyond Globalisation: Remaking

Housing Policy in a Complex World. s.l. ENHR, pp. 1–10.

Elsinga, M., Priemus, H., Boelhouwer, P., 2016. Milestones in Housing Finance in the Netherlands, 1988–2013. Milestones in European Housing Finance, 255–272.

Fitzsimons, J., 2013. The dutch private rented sector. Working paper, Boligøkonomisk Videncenter (The Knowledge Centre for Housing Economics) (November 2013).

Flood, R. P., Hodrick, R. J., 1990. On testing for speculative bubbles. The Journal of Economic Perspectives 4 (2), 85–101.

Florax, R., Folmer, H., 1992. Specification and Estimation of Spatial Linear Regression Models: Monte Carlo Evaluation of Pre-test Estimators. Regional Science and Urban Economics 22 (3), 405–432.

Foo, T., Eng, S., 2000. Asset allocation in a downside risk framework. Journal of Real Estate Portfolio Management 6 (3), 213–223.

Francke, M., De Vos, A., 2000. Efficient computation of hierarchical trends. Journal of Business & Economic Statistics 18 (1), 51–57.

Francke, M. K., 2010. Repeat sales index for thin markets. The Journal of Real Estate Finance and Economics 41 (1), 24–52.

Galati, G., Teppa, F., 2013. Heterogeneity in house price dynamics. De Nederlandsche Bank working Paper No.371.

George, E. I., Sun, D., Ni, S., 2008. Bayesian Stochastic Search for VAR Model Restrictions. Journal of Econometrics 142, 553–580.

Gibbons, S., Overman, H. G., 2012. Mostly Pointless Spatial Econometrics? Journal of Regional Science 52 (2), 172–191.

Giles, D. E., 2013. Autoregressive distributed lag models – part ii – bounds tests. Econometrics Beat,

Giussani, B., Hadjimatheou, G., 1991. Modeling regional house prices in the united kingdom. Papers in Regional Science 70 (2), 201–219.

Gong, Y., Boelhouwer, P., de Haan, J., 2016a. Interurban house price gradient: Effect of urban hierarchy distance on house prices. Urban Studies 53 (15), 3317–3335.

Gong, Y., Hu, J., Boelhouwer, P. J., 2016b. Spatial interrelations of chinese housing markets: Spatial causality, convergence and diffusion. Regional Science and Urban Economics 59, 103–117.

Granger, C. W., 1980. Testing for Causality: A Personal Viewpoint. Journal of Economic Dynamics and control 2, 329–352.

Granger, C. W. J., 1969. Investigating Causal Relations by Econometric Models and Cross-spectral Methods. Econometrica 37 (3), 424–438.

Grootveld, H., Hallerbach, W., 1999. Variance vs downside risk: Is there really that much difference? European Journal of operational research 114 (2), 304–319.

Gupta, R., Miller, S. M., 2012a. ”Ripple Effects” and Forecasting Home Prices in Los Angeles, Las Vegas, and Phoenix. The Annals of Regional Science 48 (3), 763–782.

Gupta, R., Miller, S. M., 2012b. The Time-series Properties of House Prices: A Case Study of the Southern California Market. The Journal of Real Estate Finance and Economics 44 (3), 339–361.

Haffner, M. E., 2002. Dutch personal income tax reform 2001: An exceptional position for owner-occupied housing. Housing Studies 17 (3), 521–534.

Haffner, M. E., 2008. Savings for old age? housing wealth of the dutch elderly. Housing, Theory and Society 25 (2), 110–131.

Harrington, S. E., 2009. The financial crisis, systemic risk, and the future of insurance regulation. Journal of Risk and Insurance 76 (4), 785–819.

Haurin, D. R., Parcel, T. L., Haurin, R. J., 2002. Does homeownership affect child outcomes? Real Estate Economics 30 (4), 635–666.

Heath, D., Delbaen, F., Eber, J., Artzner, P., 1999. Coherent measures of risk. Mathematical Finance 9, 203–228.

Hill, R. J., 2013. Hedonic price indexes for residential housing: A survey, evaluation and taxonomy. Journal of economic surveys 27 (5), 879–914.

Himmelberg, C., Mayer, C., Sinai, T., 2005. Assessing high house prices: Bubbles, fundamentals and misperceptions. The Journal of Economic Perspectives 19 (4), 67–92.

Holly, S., Pesaran, M. H., Yamagata, T., 2010. A spatio-temporal model of house prices in the usa. Journal of Econometrics 158 (1), 160–173.

Holly, S., Pesaran, M. H., Yamagata, T., 2011. The spatial and temporal diffusion of house prices in the uk. Journal of Urban Economics 69 (1), 2–23.

Holmans, A., 1990. House Prices: Changes through Time at National and Sub-national Level. Department of the Environment London.

Holmes, M. J., 2007. How Convergent are Regional House Prices in the United Kingdom? Some New Evidence from Panel Data Unit Root Testing. Journal of Economic and Social Research 9 (1), 1–17.

Holmes, M. J., Grimes, A., 2008. Is There Long-run Convergence Among Regional House Prices in the UK? Urban Studies 45 (8), 1531–1544.
Hull, J. C., 2006. Options, futures, and other derivatives. Pearson Education India. Iacoviello, M., Ortalo-Magne, F., 2003. Hedging housing risk in london. The Journal of
Real Estate Finance and Economics 27 (2), 191–209.

Jin, C., Ziobrowski, A., 2011. Using Value-At-Risk to Estimate Downside Residential Market Risk. Journal of Real Estate Research 33 (3), 389–413.

Katz, L., 1953. A New Status Index Derived from Sociometric Analysis. Psychometrika 18 (1), 39–43.

Kim, J., 2015. Household’s optimal mortgage and unsecured loan default decision. Journal of Macroeconomics 45, 222–244.

Kloth, M., 2005. Payment difficulties of home owners in germany. In: Boelhouwer, P., Doling, J., Elsinga, M. (Eds.), Home ownership. Getting in, getting from, getting out. DUP Science, Delft, Ch. 10, pp. 187–204.

Koop, G., Korobilis, D., 2010. Bayesian Multivariate Time Series Methods for Empirical Macroeconomics. Now Publishers Inc.

Kramer, B., 2010. The risk and return of home ownership. OFRC Working paper Series (2010-02).

Kwiatkowski, D., Phillips, P. C., Schmidt, P., Shin, Y., 1992. Testing the null hypothesis of stationarity against the alternative of a unit root: How sure are we that economic time series have a unit root? Journal of econometrics 54 (1-3), 159–178.

Lambrecht, B., Perraudin, W., Satchell, S., 1997. Time to Default in the UK Mortgage Market. Economic Modelling 14 (4), 485–499.

Lauritzen, S. L., 1996. Graphical Models. Oxford University Press, Oxford.

Lee, C.-C., Chien, M.-S., 2011. Empirical modelling of regional house prices and the ripple effect. Urban Studies 48 (10), 2029–2047.

LeSage, J. P., Pace, R. K., 2009. Introduction to Spatial Econometrics (Statistics, Textbooks and Monographs). CRC Press.

Levin, E. J., Wright, R. E., 1997. The impact of speculation on house prices in the united kingdom. Economic modelling 14 (4), 567–585.

Lütkepohl, H., 2005. New introduction to multiple time series analysis. Springer Science & Business Media.

MacDonald, R., Taylor, M. P., 1993. Regional house prices in britain: long-run relationships and short-run dynamics. Scottish Journal of Political Economy 40 (1), 43–55.

Malpass, P., 2008. Housing and the new welfare state: Wobbly pillar or cornerstone? Housing studies 23 (1), 1–19.

Malpezzi, S., 1999. A simple error correction model of house prices. Journal of housing economics 8 (1), 27–62.

Malpezzi, S., et al., 2003. Hedonic pricing models: a selective and applied review. Section in Housing Economics and Public Policy: Essays in Honor of Duncan


Martens, M., Van Dijk, D., 2007. Measuring Volatility with the Realized Range. Journal of Econometrics 138 (1), 181–207.

Marwan, N., Romano, M. C., Thiel, M., Kurths, J., 2007. Recurrence Plots for the Analysis of Complex Systems. Physics Reports 438 (5), 237–329.

McGreal, S., Lloyd, G., Haran, M., Berry, J., Adair, A., 2009. The global financial crisis: Impact on property markets in the uk and ireland. Report by the University of Ulster Real Estate Initiative Research Team< http://news. ulster. ac. uk/podcasts/ReiGlobalCrisis. pdf.

Meen, G., 1996. Spatial Aggregation, Spatial Dependence and Predictability in the UK Housing Market. Housing Studies 11 (3), 345–372.

Meen, G., 1999. Regional house prices and the ripple effect: a new interpretation. Housing studies 14 (6), 733–753.

Meng, H., Xie, W.-J., Jiang, Z.-Q., Podobnik, B., Zhou, W.-X., Stanley, H. E., 2014. Systemic Risk and Spatiotemporal Dynamics of the US housing Market. Scientific reports 4.

Miller, N., Pandher, G., 2008. Idiosyncratic volatility and the housing market. Journal of Housing Research 17 (1), 13–32.

Mizen, P., 2008. The Credit Crunch of 2007-2008: A Discussion of the Background, Market Reactions, and Policy Responses. Federal Reserve Bank of St. Louis Review 90 (September/October 2008).

Muellbauer, J., Murphy, A., 1997. Booms and busts in the uk housing market. The Economic Journal 107 (445), 1701–1727.

Nanda, A., Yeh, J.-H., 2014. Spatio-temporal Diffusion of Residential Land Prices Across Taipei Regions. SpringerPlus 3 (1), 1.

Narayan, P. K., 2005. The saving and investment nexus for china: evidence from cointegration tests. Applied economics 37 (17), 1979–1990.

Neuteboom, P., 2003. A European Comparison of the Costs and Risks of Mortgages for Owner-Occupiers. European Journal of Housing Policy 3 (2), 155–171.

Neuteboom, P., 2008. On the Rationality of Borrowers’ Behaviour: Comparing Risk Attitudes of Homeowners. Vol. 21. IOS Press, Amsterdam.

Neuteboom, P., Horsewood, N., 2006. The Social Limits to Growth: Security and Insecurity Aspects of Home Ownership. Vol. 31. Amsterdam.

Nield, S., 2015. Mortgage market review:“hard-wired common sense?”. Journal of Consumer Policy 38 (2), 139–159.

NVB, 2014. The dutch mortgage market. Nederlandse Vereninging van Banken (NVB) report, Amsterdam.

Ortalo-Magné, F., Rady, S., et al., 2000. Why are housing prices so volatile? income shocks in a stochastic heterogeneous-agents model. In: International AREUEA meeting.

Payne, J. E., 2012. The long-run relationship among regional housing prices: An empirical analysis of the us. Journal of Regional Analysis & Policy 42 (1), 28.

Peng, L., Thibodeau, T., 2013. Risk segmentation of american homes: Evidence from denver. Real Estate Economics 41 (3), 569–599.

Peng, L., Thibodeau, T. G., 2017. Idiosyncratic risk of house prices: Evidence from 26 million home sales. Real Estate Economics 45 (2), 340–375.

Pesaran, M. H., Shin, Y., Smith, R. J., 2001. Bounds testing approaches to the analysis of level relationships. Journal of applied econometrics 16 (3), 289–326.

Phang, S.-Y., 2010. Affordable homeownership policy: implications for housing markets. International Journal of Housing Markets and Analysis 3 (1), 38–52.

Pinkse, J., Slade, M. E., 2010. The Future of Spatial Econometrics. Journal of Regional Science 50 (1), 103–117.

Pollakowski, H. O., Ray, T. S., 1997. Housing Price Diffusion Patterns at Different Aggregation Levels: An Examination of Housing Market Efficiency. Journal of Housing Research 8 (1), 107.

Poterba, J. M., Weil, D. N., Shiller, R., 1991. House price dynamics: the role of tax policy and demography. Brookings Papers on Economic Activity 1991 (2), 143–203.

Pukthuanthong, K., Roll, R., 2009. Global market integration: An alternative measure and its application. Journal of Financial Economics 94 (2), 214–232.

Reichert, A. K., 1990. The impact of interest rates, income, and employment upon regional housing prices. The Journal of Real Estate Finance and Economics 3 (4), 373–391.

Rosen, S., 1974. Hedonic prices and implicit markets: product differentiation in pure competition. The journal of political economy 82 (1), 34–55.

Ross, S. A., Zisler, R. C., 1991. Risk and return in real estate. The Journal of Real Estate Finance and Economics 4 (2), 175–190.

Rouwendal, J., 2007. Mortgage interest deductibility and homeownership in the netherlands. Journal of Housing and the Built Environment 22 (4), 369–382.

Schwann, G. M., 1998. A real estate price index for thin markets. The Journal of Real Estate Finance and Economics 16 (3), 269–287.

Shiller, R. J., 1990. Speculative prices and popular models. The Journal of Economic Perspectives 4 (2), 55–65.

Shiller, R. J., 2003. The new financial order: Risk in the 21st century. Princeton University Press.

Shiller, R. J., Weiss, A. N., 1999. Home equity insurance. The Journal of Real Estate Finance and Economics 19 (1), 21–47.

Shiller, R. J., et al., 2014. Speculative asset prices. American Economic Review 104 (6), 1486–1517.

Shumway, R. H., Stoffer, D. S., 2010. Time series analysis and its applications: with R examples. Springer Science & Business Media.

Sinai, T., Souleles, N. S., 2003. Owner-occupied housing as a hedge against rent risk. Tech. rep., National Bureau of Economic Research.

Sinai, T., Souleles, N. S., 2005. Owner-occupied housing as a hedge against rent risk. The Quarterly Journal of Economics 120 (2), 763–789.

Sommervoll, D. E., de Haan, J., 2014. Homes and Castles: Should We Care about Idiosyncratic Risk? Land Economics 90 (4), 700–716.

Sommervoll, E. D., Wood, G., 2011. Home equity insurance. Journal of Financial Economic Policy 3 (1), 66–85.

Stephens, M., 2006. Systemic Risk and Home Ownership in the UK. In: Doling, J., Elsinga, M. (Eds.), Home ownership: getting in, getting from, getting out. IOSpress, Amsterdam, pp. 221–234.

Stiglitz, J. E., 1990. Symposium on bubbles. The Journal of Economic Perspectives 4 (2), 13–18.

Swindler, S., 2012. Hedging housing risk. In: Susan J. Smith (eds.) International Encyclopedia of Housing and Home, 362–367.

Szegö, G., 2002. Measures of risk. Journal of Banking & Finance 26 (7), 1253–1272.

Taylor, J. B., 2009. The financial crisis and the policy responses: An empirical analysis of what went wrong. Tech. rep., National Bureau of Economic Research.

Teulings, C. N., 2014. Unemployment and House Price Crises: Lessons for Fiscal Policy from the Dutch Recession. IZA Journal of European Labor Studies 3 (1), 20.

Teye, A. L., Ahelegbey, D. F., 2017. Detecting spatial and temporal house price diffusion in the netherlands: A bayesian network approach. Regional Science and Urban Economics 65 (4), 56–64.

Teye, A. L., de Haan, J., Elsinga, M., 2017. Risks and interrelationships of sub district house prices: The case of amsterdam. Journal of Housing and the Built Environment (in press).

Toda, H. Y., Yamamoto, T., 1995. Statistical inference in vector autoregressions with possibly integrated processes. Journal of econometrics 66 (1), 225–250.

Torgersen, U., 1987. Housing: the wobbly pillar under the welfare state. Scandinavian Housing and Planning Research 4 (sup1), 116–126.

Toussaint, J., 2013. Mortgage-equity release: the potential of housing wealth for future dutch retirees. Journal of Housing and the Built Environment 28 (2), 205–220.

Toussaint, J., Elsinga, M., 2009. Exploring ‘housing asset-based welfare’. can the uk be held up as an example for europe? Housing Studies 24 (5), 669–692.

Toussaint, J., Elsinga, M., 2010. Dutch households’ strategies for old age and the role of housing wealth. Teorija in Praksa 47 (5), 1028–1043.

Toussaint, J., Elsinga, M. G., 2007. The netherlands: Positive prospects and equity galore. In: Elsinga, M. G., De Decker, P., Teller, N., Toussaint, J. (Eds.), Home Ownership Beyond Asset and Security: Perceptions of Housing Related Security and Insecurity in Eight European Counties. IOS Press, Amsterdam, Ch. 7, pp. 173–200.

Tu, Q., de Haan, J., Boelhouwer, P., 2016. The Mismatch Between Conventional House Price Modeling and Regulated Markets: Insights from The Netherlands. Journal of Housing and the Built Environment, 1–21.

Valletta, R. G., 2013. House lock and structural unemployment. Labour Economics 25, 86–97.

Van Bragt, D., Francke, M. K., Singor, S. N., Pelsser, A., 2015. Risk-neutral valuation of real estate derivatives. The Journal of Derivatives 23 (1), 89–110.
Van Dalen, P., Oevering, F., Vries, D., 2013. Dutch housing market quarterly. Rabobank. van de Minne, A., 2015. House price dynamics: The role of credit, demographics and
depreciation. PhD Thesis, University of Amsterdam.

Van der Heijden, H., Dol, K., Oxley, M., 2011. Western european housing systems and the impact of the international financial crisis. Journal of Housing and the Built Environment 26 (3), 295–313.

Van Dijk, B., Franses, P. H., Paap, R., Van Dijk, D., 2011. Modelling regional house prices. Applied Economics 43 (17), 2097–2110.

Van Leeuwen, R., Bokeloh, P., 2012. Mortgage market in the netherlands. ABN AMRO.

Van Ommeren, J., Rietveld, P., Nijkamp, P., 1999. Job moving, residential moving, and commuting: a search perspective. Journal of Urban Economics 46 (2), 230–253.

Vansteenkiste, I., Hiebert, P., 2011. Do house price developments spillover across euro area countries? evidence from a global var. Journal of Housing Economics 20 (4), 299–314.

Vega, S. H., Elhorst, J. P., 2013. On Spatial Econometric Models, Spillover Effects, and
W. In: 53rd ERSA Conference, Palermo. Vol. 4.

Wolski, R., 2013. Measures of downside risk under conditions of downturn in the real estate market. Real Estate Management and Valuation 21 (3), 81–87.

Woodbury, M. A., 1950. Inverting Modified Matrices. Memorandum Report, 42, Statistical Research Group, Princeton University.

Xu-Doeve, W. L., 2010. The overvalued housing market in the netherlands: A conspiracy of silence. In: 5th Conference of the IFC, held. pp. 25–26.

Yamai, Y., Yoshiba, T., 2002. On the validity of value-at-risk: comparative analyses with expected shortfall. Monetary and economic studies 20 (1), 57–85.

Yang, T. T., Buist, H., Megbolugbe, I. F., 1998. An analysis of the ex ante probabilities of mortgage prepayment and default. Real Estate Economics 26 (4), 651–676.

Zehnder, A., 1998. Homeownership: A solution for providing financial security for old age. Housing Finance International 13 (2), 3–7.
How to Cite
TEYE, Alfred Larm. Diffusion and Risks of House Prices in the Netherlands. A+BE | Architecture and the Built Environment, [S.l.], n. 3, p. 1-128, feb. 2018. ISSN 2214-7233. Available at: <https://journals.open.tudelft.nl/index.php/abe/article/view/1994>. Date accessed: 18 feb. 2019. doi: https://doi.org/10.7480/abe.2018.3.