The Effect of Short-Run Market Expectations on House Prices: A Spatiotemporal Modelling Approach

2013 ◽  
Keyword(s):  
House Prices ◽  
Spatiotemporal Modelling ◽  
Short Run ◽  
Market Expectations ◽  
Modelling Approach

scholarly journals International Real Estate Review

2017 ◽  
Vol 20 (2) ◽  
pp. 127-165
Author(s):  
Mohsen Bahmani-Oskooee ◽  
◽  
Seyed Hesam Ghodsi ◽  
Keyword(s):  
Household Income ◽  
House Prices ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Price Increases ◽  
Long Run ◽  
Short Run ◽  
Nonlinear Autoregressive ◽  
The U.S ◽  
Modelling Approach

When U.S. house prices were rising before the financial crisis of 2008, Case and Shiller (2003) argue that "income growth alone explains the pattern of recent home price increases in most states¨. Then can the decline in income after 2008 explain for the burst and abnormal decrease in house prices? Alternatively we ask whether the effects of income on house prices are symmetric or asymmetric. We employ quarterly data from each of the states in the U.S. and nonlinear autoregressive distributed lag modelling approach of Shin et al. (2014) to show that indeed, household income changes do have asymmetric effects on house prices in most of the states in the U.S. While adjustment asymmetry is borne out by the results in all states, asymmetric short-run impact is evidenced in 18 states and significant asymmetric long-run impact in 21 states.

scholarly journals Money and credit during normal times and house price booms: evidence from time-frequency analysis

Empirica ◽  
2019 ◽  
Vol 47 (4) ◽  
pp. 835-861
Author(s):  
Maciej Ryczkowski
Keyword(s):  
Great Recession ◽  
House Prices ◽  
House Price ◽  
Industrialized Countries ◽  
Time Frequency ◽  
The Great Recession ◽  
Time Period ◽  
Price Boom ◽  
The Us ◽  
Short Run

Abstract I analyse the link between money and credit for twelve industrialized countries in the time period from 1970 to 2016. The euro area and Commonwealth Countries have rather strong co-movements between money and credit at longer frequencies. Denmark and Switzerland show weak and episodic effects. Scandinavian countries and the US are somewhere in between. I find strong and significant longer run co-movements especially around booming house prices for all of the sample countries. The analysis suggests the expansionary policy that cleans up after the burst of a bubble may exacerbate the risk of a new house price boom. The interrelation is hidden in the short run, because the co-movements are then rarely statistically significant. According to the wavelet evidence, developments of money and credit since the Great Recession or their decoupling in Japan suggest that it is more appropriate to examine the two variables separately in some circumstances.

scholarly journals International Real Estate Review

2012 ◽  
Vol 15 (1) ◽  
pp. 1-42
Author(s):  
Heeho Kim ◽  
◽  
SaeWoon Park ◽  
Sun Hye Lee ◽  
◽  
...  
Keyword(s):  
House Prices ◽  
House Price ◽  
Bank Lending ◽  
Government Policies ◽  
High Price ◽  
Subprime Crisis ◽  
Long Run ◽  
Short Run ◽  
Price Escalation ◽  
Housing Submarket

This paper studies the abnormal price behavior of Kangnam, a premium (high price) housing submarket in Seoul, Korea, which addresses the correlation between house prices, bank lending, and other factors, including income. Kangnam experienced the most dramatic price escalation during the study period (1999-2009) despite Korean government policies to stabilize house prices in 2005 and the U.S. subprime crisis in 2008. The empirical result shows that even though the house price in a premium market is, to some degree, positively influenced by income, it is not affected by bank lending in the short-run while negatively affected in the long-run. This suggests that a premium housing submarket has a peculiar price dynamics of its own unlike the other submarkets which seem to comply more or less with our notion of a general economic theory, especially in terms of house prices and bank lending.

scholarly journals Untangling the nonlinear “knots” of UK’s housing prices

2019 ◽  
Vol 46 (5) ◽  
pp. 1083-1103
Author(s):  
Constantinos Alexiou ◽  
Sofoklis Vogiazas
Keyword(s):  
Housing Market ◽  
House Prices ◽  
Housing Prices ◽  
Positive Association ◽  
Research Area ◽  
Content Type ◽  
Nonlinear Ardl ◽  
Long Run ◽  
Short Run ◽  
The Uk

Purpose Housing prices in the UK offer an inspiring, yet a complex and under-explored research area. The purpose of this paper is to investigate the critical factors that affect UK’s housing prices. Design/methodology/approach The authors utilize the recently developed nonlinear ARDL approach of Shin et al. (2014) over the period 1969–2016. Findings The authors find that both the long-run and short-run impact of the price-to-rent (PTR) ratio and credit-to-GDP ratio on house prices (HP) is asymmetric whilst ambiguous results are established for mortgage rates, industrial production and equities. Apart from the novel framework of analysis, this study also establishes a positive association between HP and the PTR ratio which suggests a speculative behaviour and could imply the formation of a housing bubble. Originality/value It is the first study for the UK housing market that explores the underlying fundamental relationships by looking at nonlinearities hence, allowing HP to be tied by asymmetric relationships in the long as well as in the short run. Modelling the inherent nonlinearities enhances significantly the understanding of UK housing market which can prove useful for policymaking and forecasting purposes.

scholarly journals Employment Expectations and Labour Force Participation in Canada

2005 ◽  
Vol 29 (2) ◽  
pp. 320-331
Author(s):  
Arthur Donner ◽  
Fred Lazar
Keyword(s):  
Labour Market ◽  
Labour Supply ◽  
Labour Force ◽  
Labour Force Participation ◽  
Traditional Model ◽  
Empirical Results ◽  
Short Run ◽  
Market Expectations

This paper incorporates a role for expectations in the short-run behavior of labour supply decision, presents a theory introducing labour market expectations as a variable influencing labour supply, and discusses the relative merits of the expectations model vis-à-vis the traditional model using the empirical results derived in this work.

Housing Prices and Money Demand: Empirical Evidence in Selected MENA Countries

2019 ◽  
Vol 15 (1) ◽  
Author(s):  
Nadia Mbazia ◽  
Mouldi Djelassi
Keyword(s):  
Money Demand ◽  
House Prices ◽  
Housing Prices ◽  
House Price ◽  
Structural Features ◽  
Demand Model ◽  
Mena Countries ◽  
Long Run ◽  
Short Run ◽  
Dynamic Relationships

Abstract This paper examines the links between housing and money empirically in a money demand framework for a panel of five Middle East and North Africa (MENA) countries using quarterly data from 2007Q3 to 2014Q4 with the inclusion of house prices as a variable representing the developments in housing markets. We applied the Pool Mean Group Estimation technique to estimate the long-run and short-run dynamic relationships in money demand model. Empirical results provide the evidence that higher house prices lead to a rise in M2 demand in long-run and short-run estimations. This finding may explain the importance influence of the house price developments on monetary policy in MENA countries. The results confirm that the cross-country heterogeneity of money holdings is also connected with structural features of the housing market.

scholarly journals Does Housing Policy Sustainability Matter? Evidence from China

2019 ◽  
Vol 11 (17) ◽  
pp. 4761
Author(s):  
Ya Gao ◽  
Xiuting Li ◽  
Jichang Dong
Keyword(s):  
Housing Market ◽  
Housing Policy ◽  
House Prices ◽  
Chinese Economy ◽  
Policy Implications ◽  
Chinese Government ◽  
Difference In Difference ◽  
Housing Policies ◽  
Short Run ◽  
Home Purchase

The housing market plays an important role in the Chinese economy and society. To promote the functioning of the housing market, the Chinese government has imposed many policies and regulations. However, most of these regulations do not take sustainability into consideration. Using a difference-in-difference approach, this paper investigated the impacts of home purchase restriction (HPR) on the housing market in China. While most studies have only focused on the impacts of HPR implementation on the housing market, we also investigated the effects of HPR removal. The results revealed that HPR brings about a decline in the growth of house prices and the impacts are more significant in the short run. Furthermore, the effects of HPR vary across different cities., where they are particularly pronounced in the central and western cities. Moreover, there was no evidence to show that the removal of HPR affected house prices as expected. This suggests that it is important to improve the sustainability of housing policies, which has significant policy implications for obtaining a well-functioning housing market.

scholarly journals Empirical Analysis of House Price Bubble: A Case Study on Malaysia

2016 ◽  
Vol 11 (12) ◽  
pp. 127
Author(s):  
Fong Kean Yan ◽  
Yap Lya Keng ◽  
Kwek Kien Teng
Keyword(s):  
Gross Domestic Product ◽  
House Prices ◽  
House Price ◽  
Domestic Product ◽  
Price Bubble ◽  
Long Run ◽  
Residential Properties ◽  
Short Run ◽  
Per Capita ◽  
House Price Bubble

The main objective of this research is to investigate the relationship between house price with macroeconomics variables - Gross Domestic Product per capita, inflation rate, Base Lending Rate and amount of household loan disbursed for purchase of residential properties. We try to use these variables to examine if they could trigger a housing bubble to burst in Malaysia. Granger Causality results show that there is univariate relationship from house price to Gross Domestic Product per capita. Though house price and other macroeconomics variables do not Granger–cause each other in short run, but these variables are cointegrated in the long run, i.e. there is no evidence of house price bubble in Malaysia. We suggest that soaring house prices in Malaysia is being supported by the large inflow of foreign funds into the housing sector and the unresponsive supply of houses.

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