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Recent research supports the proposition that housing markets are not informationally efficient. That is, housing prices do not immediately reflect publicly available information. Another question of interest is whether housing price changes in one location or for one type of housing can be predicted not only by their own history, but also by housing price changes in other locations or for other housing types. In essence, this would imply a diffusion of price changes. This article examines the interrelationship among housing price changes in (1) different U.S. census divisions and (2) different primary metropolitan statistical areas within a consolidated metropolitan statistical area. The evidence confirms that housing price shocks in one area are likely to cause, in a Granger sense, subsequent shocks in the same area and in other areas. The metropolitan area analysis finds evidence of diffusion between contiguous areas; the census division analysis displays alternative diffusion patterns.
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