Diffusion and risks of house prices in the Netherlands

The aim of this dissertation 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.

Chapter 2 is a literature study that presents the general trend and an overview of the risks in home-ownership.

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.

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.

One part of Chapter 5 deals with the diffusion pattern by studying the spatial interrelationships between house prices in Amsterdam. The other part studies the house price risks.

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.

In general, the dissertation adopts an 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.

Teye, A. L. (2018). Diffusion and risks of house prices in the Netherlands. Dissertation, Delft University of Technology.