The study of heterogeneity in the spatial dependence of changes in housing prices in 22 urban districts of Tehran

The analysis of data on housing prices and their growth rates, typical of spatial data, is undoubtedly affected by spatial dependence. This means that housing prices and their growth in one district are affected by housing prices in neighboring districts. However, the other issue regarding housing prices in different districts is the heterogeneity of spatial dependence. This suggests that there are differences in the spatial dependence of housing prices in urban districts over time so that the spatial effects in urban districts when prices rise are different from the effects when prices fall. The theoretical analysis of this phenomenon is based on the theories of behavioral economics. In this study, the heterogeneity of spatial dependence of housing price growth rates was investigated for 22 districts of Tehran. Using a dynamic fixed effects spatial panel model, the effects of determinants on growth rates were estimated for 22 districts of Tehran. The test results indicate the existence of nonlinear relationships in the model. Therefore, the model was estimated by a smooth transition panel regression model with a transfer function in which the spillover rate of housing price growth rates from neighboring counties was determined as a transfer variable. The results show that the coefficient of spatial dependence for housing price growth rates is higher in boom times than in recession for Tehran districts. Thus, it can be concluded that there is heterogeneity in the spatial dependence of housing price growth rates in the urban districts of Tehran over time.JEL Classification: C31, C33, R31.