Analysis of Housing Price Persistence under Structural Shocks Using the ARFIMA Approach: Evidence from the Tehran Housing Market

Articles in Press

Document Type : Research Article

Authors

1 Assistant Professor, The Center for Development Research and Foresigh, Tehran, Iran

2 Associate Professor, Department of Agricultural Economics, Faculty of Economics and Agricultural Development, University of Tehran, Karaj, Iran

3 Ph.D, Department of Agricultural Economics, Faculty of Economics and Agricultural Development, University of Tehran, Karaj, Iran

10.22034/jepr.2026.145809.1359

Abstract

Housing price dynamics and their persistence in response to economic and political shocks remain a major concern for policymakers and participants in the housing market. Determining whether shocks to the housing market have only transitory effects or leave lasting impacts on housing prices is essential for designing effective housing policies. This study examines the persistence and long-memory properties of both real and nominal housing prices (average price per square meter) in Tehran over the period from April 2016 to August 2024 using ARFIMA model. The results indicate that both real and nominal housing price series exhibit long-memory behavior, implying that shocks to the housing market dissipate only gradually and their effects persist over time. Among the three major shocks considered in this study—the U.S. withdrawal from the Joint Comprehensive Plan of Action , the COVID-19 pandemic, and the 2020 exchange-rate shock together with the sharp increase in housing prices in 2022—only the COVID-19 shock had a direct and statistically significant effect on real housing prices. In contrast, none of the dummy variables was statistically significant in the nominal price model. These findings suggest that most of the impact of these shocks is transmitted through the long-memory structure of the housing market rather than through their direct effects. Given the presence of long memory, short-term policy interventions are unlikely to be effective, as the effects of shocks fade only slowly. Therefore, housing policies should adopt a long-term perspective and be supported by stable monetary and fiscal policies.

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Journal of Economic Policies and Research

Articles in Press, Accepted Manuscript
Available Online from 22 August 2026

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History

  • Receive Date: 05 May 2026
  • Revise Date: 11 August 2026
  • Accept Date: 22 August 2026
  • Publish Date: 22 August 2026

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