Linking U.S. State-level housing market returns, and the consumption-(Dis)Aggregate wealth ratio

2021 ◽  
Vol 71 ◽  
pp. 779-810
Author(s):  
Mehmet Balcilar ◽  
Rangan Gupta ◽  
Ricardo M. Sousa ◽  
Mark E. Wohar
Keyword(s):  
Housing Market ◽  
State Level ◽  
Market Returns ◽  
Aggregate Wealth

scholarly journals Testing the white noise hypothesis in high-frequency housing returns of the United States

2020 ◽  
Vol 9 (3) ◽  
pp. 178-188
Author(s):  
Aviral Kumar Tiwari ◽  
Rangan Gupta ◽  
Juncal Cunado ◽  
Xin Sheng
Keyword(s):  
United States ◽  
White Noise ◽  
Housing Market ◽  
Sovereign Debt ◽  
Debt Crisis ◽  
The United States ◽  
Market Returns ◽  
Subprime Mortgage ◽  
Economic Agents ◽  
Rolling Window

Utilizing a daily dataset of aggregate housing market returns of the United States, we test whether housing market returns are white noise using the blockwise wild bootstrap in a rolling-window framework. We investigate the dynamic evolution of housing market efficiency and find that the white noise hypothesis is accepted in most windows associated with non-crisis periods. However, for some periods before the burst of the housing market bubbles, and during the subprime mortgage crisis, European sovereign debt crisis and the Brexit, the white noise hypothesis is rejected, indicating that the housing market is inefficient in periods of turbulence.  Our results have important implications for economic agents.

scholarly journals On Malaysian House Price Growth: The Effects of Market Sentiments

2018 ◽  
Vol 10 (2) ◽  
pp. 167
Author(s):  
Calvin W. H. Cheong ◽  
Lisa L. H. Ngui ◽  
Shella Georgina Beatrice
Keyword(s):  
Housing Market ◽  
House Prices ◽  
House Price ◽  
Market Returns ◽  
Short Term ◽  
Policy Makers ◽  
Market Sentiment ◽  
Property Prices ◽  
Price Growth ◽  
Property Markets

This paper examines the factors that drive the recent exponential growth in Malaysian house prices. We first construct a sentiment index for the housing market in Malaysia guided by the methods employed by Baker and Wurgler (2006). Preliminary analyses of our bias-free sentiment index indicate a strong correlation with overall market confidence which attests to the reliability of our index. The results also show contemporaneous sentiment to strongly influence future housing market returns especially in the short-term. Contrary to the literature, our results suggest that it is property developer behaviour that drive sentiments and property prices. The study contributes to the literature by providing an easily generalizable method of constructing a housing market sentiment index in other countries that holistically accounts for essential housing market elements that are otherwise ignored in confidence indices. This study also contributes to practice as it provides evidence to policy-makers who wish to cool property markets may want to design interventions that are targeted at property developers instead of home-buyers or speculators.

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