Modeling House Price Synchronization across the U.S. States and their Time-Varying Macroeconomic Linkages

2020 ◽  
Vol 0 (0) ◽  
Author(s):  
Hardik A. Marfatia
Keyword(s):  
Bayesian Modeling ◽  
Inflation Rate ◽  
House Prices ◽  
House Price ◽  
Time Varying ◽  
Macroeconomic Indicators ◽  
Specific Factors ◽  
Regional Factors ◽  
Regional Factor ◽  
The U.S

AbstractThis paper analyzes the time-varying impact of macroeconomic forces on the synchronization in housing movements across all the U.S. states. Using a Bayesian modeling approach, the house price movements are decomposed into national, regional and state-specific factors. We then analyze the time-varying impact of macroeconomic forces on these national and regional factors. Evidence suggests that in several Western and Eastern states the house price variations are dominated by the national factor, whereas the regional factor dominates the Southern and Midwestern markets. These factors are found to have a time-varying relationship with most macroeconomic indicators with particularly pronounced time-variation caused by national house prices, inflation rate and consumer sentiments.

THE EFFECTS OF U.S. UNCONVENTIONAL MONETARY POLICY ON ASIAN STOCK MARKETS

2017 ◽  
Vol 65 (04) ◽  
pp. 917-945
Author(s):  
CHIEN-CHIANG LEE ◽  
MEI-PING CHEN ◽  
CHUN-CHIE HUANG
Keyword(s):  
Correlation Coefficients ◽  
Spillover Effects ◽  
Market Liquidity ◽  
Time Varying ◽  
Progressive Decline ◽  
Dynamic Correlation ◽  
Volatility Spillovers ◽  
Specific Factors ◽  
Autoregressive Conditional Heteroscedasticity ◽  
The U.S

To assess the spillover effects of quantitative easing (QE) on return and volatility from the U.S. market to the selected Asian markets, this study applies dynamic correlation coefficient-generalized autoregressive conditional heteroscedasticity model to capture the time-varying nature of return and volatility spillovers during non-QE and QE periods of the sample countries. Furthermore, we incorporate the estimated time-varying correlation coefficients and country-specific factors to probe the determinants of the spillover. We find that the U.S. QE policies have significantly affected the correlations between the U.S. and some Asian countries, to which it performs significantly progressive decline in the correlations during the latest QE. Greater stock market liquidity remarkably increases their financial spillovers.

scholarly journals International Real Estate Review

2020 ◽  
Vol 23 (1) ◽  
pp. 65-106
Author(s):  
Mohsen Bahmani-Oskooee ◽  
◽  
Seyed Ghodsi ◽  
Keyword(s):  
House Prices ◽  
House Price ◽  
Oil Prices ◽  
Asymmetric Effects ◽  
Long Run ◽  
Short Run ◽  
Using Data ◽  
Almost All ◽  
The Impact ◽  
The U.S

Since oil is used as an input in the production and delivery process, any change in its price can affect almost all sectors of an economy. Researchers have tried to assess the impact of the rising price of oil on domestic production, inflation, investment, the stock market, etc. In order to determine if inflationary effects of rising oil prices have spread to house prices in the U.S., unlike previous research, we investigate the link between oil prices and house prices by using data from each state of the U.S. Furthermore, for the first time, we engage in asymmetry analysis and find short-run asymmetric effects in almost all of the states but short-run cumulative effects or asymmetric impact in 15 states. Although we also find significant long-run asymmetric effects in 26 states, the results reveal that an increase in oil prices has contributed to house price increase in only 11 states and a decrease in oil prices lowered house prices in only three states.

scholarly journals International Real Estate Review

2020 ◽  
Vol 23 (2) ◽  
pp. 267-308
Author(s):  
Are Oust ◽  
◽  
Ole Martin Eidjord ◽  
Keyword(s):  
Real Estate ◽  
Housing Market ◽  
House Prices ◽  
House Price ◽  
Search Term ◽  
Housing Bubble ◽  
Search Terms ◽  
Search Volume ◽  
Google Search ◽  
The U.S

The aim of this paper is to test whether Google search volume indices can be used to predict house prices and identify bubbles in the housing market. We analyze the data that pertain to the 2006?2007 U.S. housing bubble, taking advantage of the heterogeneous house price development in both bubble and non-bubble states in the U.S. Using 204 housing-related keywords, we test both single search terms and indices that comprise search term sets to see whether they can be used as housing bubble indicators. We find that several keywords perform very well as bubble indicators. Among all of the keywords and indices tested, the Google search volume for ¡§Housing Bubble¡¨ and ¡§Real Estate Agent¡¨, and a constructed index that contains the twelve best-performing search terms score the highest at both detecting bubbles and not erroneously detecting non-bubble states as bubbles. A new housing bubble indicator may help households, investors, and policy makers receive advanced warning about future housing bubbles. Moreover, we show that the Google search outperforms the well-established consumer confidence index in the U.S. as a leading indicator of the housing market.

scholarly journals House Price Beliefs And Mortgage Leverage Choice

2018 ◽  
Vol 86 (6) ◽  
pp. 2403-2452 ◽  
Author(s):  
Michael Bailey ◽  
Eduardo Dávila ◽  
Theresa Kuchler ◽  
Johannes Stroebel
Keyword(s):  
Housing Market ◽  
House Prices ◽  
House Price ◽  
Heterogeneous Beliefs ◽  
The Other ◽  
Cross Sectional ◽  
Financial Decisions ◽  
The Relationship ◽  
The U.S

Abstract We study the relationship between homebuyers’ beliefs about future house price changes and their mortgage leverage choices. Whether more pessimistic homebuyers choose higher or lower leverage depends on their willingness and ability to reduce the size of their housing market investments. When households primarily maximize the levered return of their property investments, more pessimistic homebuyers reduce their leverage to purchase smaller houses. On the other hand, when considerations such as family size pin down the desired property size, pessimistic homebuyers reduce their financial exposure to the housing market by making smaller downpayments to buy similarly-sized homes. To determine which scenario better describes the data, we investigate the cross-sectional relationship between house price beliefs and mortgage leverage choices in the U.S. housing market. We use plausibly exogenous variation in house price beliefs to show that more pessimistic homebuyers make smaller downpayments and choose higher leverage, in particular in states where default costs are relatively low, as well as during periods when house prices are expected to fall on average. Our results highlight the important role of heterogeneous beliefs in explaining households’ financial decisions.

scholarly journals Has the Fed Responded to House and Stock Prices? A Time-Varying Analysis

2021 ◽  
pp. 1-28
Author(s):  
Knut Are Aastveit ◽  
Francesco Furlanetto ◽  
Francesca Loria
Keyword(s):  
Monetary Policy ◽  
Stock Prices ◽  
Stock Price ◽  
House Prices ◽  
House Price ◽  
Structural Var ◽  
Time Varying ◽  
Systematic Component ◽  
Price Growth ◽  
The Interest Rate

Abstract We investigate whether the Federal Reserve has responded systematically to house and stock prices and whether this response has changed over time using a Bayesian structural VAR model with time-varying parameters and stochastic volatility. To recover the systematic component of monetary policy, we interpret the interest rate equation in the VAR as an extended monetary policy rule responding to ination, the output gap, house prices and stock prices. Our results indicate that the systematic component of monetary policy in the U.S. responded to real stock price growth significantly but episodically, mainly around recessions and periods of financial instability, and took real house price growth into account only in the years preceding the Great Recession. Around half of the estimated response captures the predictor role of asset prices for future ination and real economic activity, while the remaining component reects a direct response to stock prices and house prices.

scholarly journals International Real Estate Review

2014 ◽  
Vol 17 (1) ◽  
pp. 109-135
Author(s):  
Marsha J. Courchane ◽  
◽  
Cynthia Holmes ◽  
Keyword(s):  
Real Estate ◽  
Interest Rates ◽  
House Prices ◽  
House Price ◽  
Price Indices ◽  
Real Estate Markets ◽  
House Price Indices ◽  
Mortgage Interest Rates ◽  
Precipitous Decline ◽  
The U.S

Canadian and U.S. real estate markets have compared similarly along dimensions such as inflation, mortgage interest rates, population and income growth and other measures. With respect to house prices, however, the series have moved in similar ways at some times, but then significantly diverged by the second quarter of 2007. For example, Canadian and U.S. house price indices reached essentially identical levels in 1987Q2, 1995Q1 and 2007Q2. As a consequence of the U.S. financial crisis and precipitous decline in house prices, the U.S. and Canadian indices have sharply diverged. Our paper examines whether or not the house price indices were driven by fundamentals during these time periods, or whether they diverged from fundamentals. We find that the U.S. house prices closely aligned with fundamentals until the mortgage markets crashed in 2008. We find that Canadian house prices continue to align with fundamentals. However, there have been some significant market changes between the two countries and key housing market measures indicate that Canadian markets are now moving along some paths similar to those taken by the U.S. prior to the crash.

scholarly journals Explaining Private Debt

2017 ◽  
Vol 8 (2) ◽  
pp. 153-176
Author(s):  
Lenno Uusküla
Keyword(s):  
Interest Rates ◽  
Inflation Rate ◽  
House Prices ◽  
House Price ◽  
Private Debt ◽  
Macroeconomic Variables ◽  
Income Ratio ◽  
Low Interest Rates ◽  
The Government ◽  
The Relationship

The paper examines the relationship between more than 30 macroeconomic variables and debt-to-GDP ratios for the household, non-financial corporation and aggregate debt in a panel of European Union countries. The GDP level and the ratio of house prices to income are found to be positively correlated with the debt-to-GDP ratio, whereas the real interest rate, the inflation rate, economic sentiment and the government debt level are negatively correlated with the debt-to-GDP ratio. Low interest rates and the house price-to-income ratio predict growth in the future debt-to-GDP ratio. Moreover, countries that have had a financial crisis have typically gone through a period of deleveraging afterwards.

scholarly journals An Extended Measure Of The User Costs Of Housing - New Evidence From The U.S.

2012 ◽  
Vol 11 (10) ◽  
pp. 1117
Author(s):  
Tobias Duemmler
Keyword(s):  
Time Series ◽  
Credit Constraints ◽  
House Prices ◽  
House Price ◽  
Additional Term ◽  
Price Inflation ◽  
Housing Investment ◽  
User Costs ◽  
New Evidence ◽  
The U.S

This paper is based on a traditional neoclassical approach to housing investment and our previous work carried out for Germany. In this study we check the relevance if the definition for the user costs of housing should be extended by an additional term which mirrors the credit constraints a household would be faced with for the U.S. economy. This extension term consists of the inflation gap between consumer and house price inflation multiplied with an average loan-to-value ratio and the real house prices. The empirical relevance of our finding is confirmed by a VECM using U.S. data. A time series for the user costs of housing in the U.S. is calculated.

Sign in / Sign up

Export Citation Format

Share Document