The Regional Pattern of the US House Price Bubble - an Application of SPC to City Level Data PDF Download
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Author: Julia Freese
Publisher:
ISBN:
Category :
Languages : en
Pages : 51
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Author: Julia Freese
Publisher:
ISBN:
Category :
Languages : en
Pages : 51
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Author: Mr. Serhan Cevik
Publisher: International Monetary Fund
ISBN:
Category : Business & Economics
Languages : en
Pages : 19
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This paper investigates house price dynamics at high frequency using city-level observations during the period 1994-2022 in Lithuania. We employ multiple time series-based econometric procedures to examine whether real house prices and house price-to-rent ratios exhibit explosive behavior. According to these recursive right-tailed test results, we reject the null hypothesis of no-bubble and find evidence for long and multiple periods of explosive behavior in the real estate market in all major cities during the sample period. While the size of bubbles varies across cities, especially when we use the house price-to-rent ratio, there is clearly a similar boom-bust pattern. Large house price corrections can in turn have adverse effects on economic performance and financial stability, as experienced during the global financial crisis and other episodes in history.
Author: Michael Flor
Publisher:
ISBN:
Category :
Languages : en
Pages : 37
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This paper is mainly concerned with the analysis of regional house price cycles. Based on a newly available data set consisting of the 40 largest U.S. Metropolitan Statistical Areas (MSAs), we introduce a wavelet transform based metric to study the housing cycle synchronization across MSAs. We derive several conclusions: (i) We show that regional housing cycle dissimilarities are significantly and strongly connected to geography. (ii) We show that U.S. regional housing cycles are considerably shorter compared to business cycles. (iii) By employing statistical methods, we also show that regional housing prices significantly converge after the bursting of the bubble only at higher business cycle frequencies, whereas for lower business cycle frequencies this is not the case. This is a notable result, because it directly implies that housing cycles behavior is different even at the business cycle.
Author: William Miles
Publisher:
ISBN:
Category :
Languages : en
Pages :
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This paper investigates the extent of regional integration (or, conversely, segmentation) in US home values. In contrast to some previous studies, we examine the degree of integration in the US with a data set which runs into 2012 and thus captures the latest period of bubble and bust, and employing a recently developed set of tools which yield estimates which are 1) time-varying, and 2) account for differences not just in correlation but also in amplitude between different housing markets. Our results indicate that contrary to some previous findings, overall integration in the US was falling, not rising over the early years of the bubble (2001-05). This lends some credence to the "lots of local bubbles" conjecture of Greenspan that the early stages of the bubble reflected froth in some individual markets, rather than a large underlying national bubble.
Author: Robert Van Order
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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It has been widely assumed that there was a bubble in the U.S. housing market after 1999. This paper analyzes the extent to which that was true. We define a bubble as: (1) a regime shift that is characterized by a change in the properties of deviations from the fundamentals of house price growth, and (2) where a shock to the fundamental equation is more self sustaining and volatile than in other periods. We model the fundamentals of price growth as a lagged adjustment of prices to the expected present value of future rent. We then study the autoregressive behavior of the residuals thus generated. We look at changes in momentum (the extent to which a shock to house price growth leads to further increases in house price growth) of the residuals. Our results from 44 Metropolitan Statistical Areas for the period of 1980-2005 (quarterly data) are mixed. There is evidence of momentum in house price growth throughout the period, and momentum did increase after 1999, indicating a regime shift; but by a modest amount, and while momentum was sometimes strong it was not explosive. The regime shift was less apparent in the likely bubble candidate cities along the coasts, which had shown high growth in the past. The evidence on volatility is strong. In general, volatility did not increase in the nonbubble MSAs, and it decreased in the faster-growing bubble MSAs.
Author: Michael Berlemann
Publisher:
ISBN:
Category :
Languages : en
Pages : 43
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Author:
Publisher:
ISBN:
Category :
Languages : en
Pages :
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"The authors use a dynamic factor model estimated via Bayesian methods to disentangle the relative importance of the common component in the Office of Federal Housing Enterprise Oversight's house price movements from state- or region-specific shocks, estimated on quarterly state-level data from 1986 to 2004. The authors find that movements in house prices historically have mainly been driven by the local (state- or region-specific) component. The recent period (2001-04) has been different, however: "Local bubbles" have been important in some states, but overall the increase in house prices is a national phenomenon. The authors then use a VAR to investigate the extent to which expansionary monetary policy is responsible for the common component in house price movements. The authors find the impact of policy shocks on house prices to be very small"--Federal Reserve Bank of Atlanta web site.
Author: Jan Prüser
Publisher:
ISBN: 9783867889896
Category :
Languages : en
Pages :
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House price cycles may have considerable macroeconomic effects even if they evolve heterogeneous across local markets. In this paper we use a panel Markov switching model allowing for time-varying volatility to analyze national and state level house price regimes for the US jointly. Our approach identifies three house price regimes endogenously. A nationwide boom regime, a spatially limited bust regime and a nationwide bust regime. The spatially limited bust regime occurs in the coastal states where compared to other states the population density is high, the unemployment rate, the housing density as well as the land supply elasticity is low. This spatially limited bust regime usually follows a nationwide house price boom. Hence, house price movements in the coastal states usually determine the nationwide cycle in the US. Moreover, boom and bust cycles are accompanied by an exaggeration of house price increases during the boom in this group of states. In contrast, a bubble in the housing market occored in almost all states previous to the Great Recession. This is one explanation for the severity of the Great Recession.
Author: Shuping Shi
Publisher:
ISBN:
Category :
Languages : en
Pages : 28
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This paper investigates the existence of speculative bubbles in the US national and 21 regional housing markets over three decades (1978-2015). A new method for real-time monitoring exuberance in housing markets is proposed. By taking changes in the macroeconomic conditions (such as interest rate, per-capita income, employment, and population growth) into consideration, the new method provides better control for housing market fundamentals and thereby it is expected to significantly reduce the chance of false positive identification. Compared with the method of Phillips, Shi and Yu (2015a,b), the new approach finds a dramatic reduction in the number of speculative housing markets and shorter bubble episodes in the US. It locates only one bubble episode in the early-to-mid 2000s over the whole sample period in the national housing market. At the regional level, it identifies two periods of speculation: late 1980s and early-to-mid 2000s. The early-to-mid 2000s bubble episode lasts longer and involves 16 metropolitan statistical areas.
Author: James R. Follain
Publisher: Lincoln Inst of Land Policy
ISBN: 9781558442856
Category : Political Science
Languages : en
Pages : 40
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Book Description
The recent boom and bust in house prices generated widespread fallout, affecting metropolitan areas across the country. But the extent of the damage varied widely, suggesting that local market conditions also played an important role in determining how the crisis played out. As a result, national aggregates were an unreliable guide to both housing performance and the design of policies to mitigate the crisis. Based on their recent research for the Lincoln Institute, James R. Follain and Seth H. Giertz document how econometric models can be used to address some of the complex issues that have arisen since the house price bust. In particular, these models provide valuable insights into the interrelationships between house price patterns and their drivers--including new drivers that changed the fundamental dynamics of housing markets, such as the size of the distressed real estate inventory, the pace of price appreciation, and the amount of subprime lending. These changes made policymaking in mid-crisis especially challenging. To illustrate this point, the authors analyze one of the major programs put in place to stem the spread of foreclosures. The Housing Affordable Modification Program (HAMP) was developed in 2007 just as the destructive fallout of the crisis began to appear. Traditional tools for measuring and managing the crisis were insufficient. The design of HAMP thus rested upon a number of critical judgments about borrower and lender behavior made without benefit of strong empirical support. While recognizing the challenges of responding to a bust once it has begun, the authors suggest that attempts to deal with any future crises of this type would benefit from certain different design decisions: * an initial focus on hardest-hit markets to fine-tune program parameters, * development of longer-term forecasts of house prices for local markets, * greater efforts to foster more cooperation among all levels of government, and * fuller recognition of the inherent weaknesses of securitization. The report then discusses how econometric results can also be used to identify and prevent, or at least limit, the formation of future house price bubbles. Analysts often mention two specific options for combating unsustainable price increases: monetary policy and countercyclical capital policies. Follain and Giertz argue that monetary policy is of limited use in this arena, given that price appreciation varies so widely across local markets. Countercyclical capital buffers--which would raise capital requirements for financial institutions during the initial stages of the price bubble and reduce them during the period of decline--are a much more promising policy direction because they could be designed to put the brakes on only in those markets where bubbles appear to be developing. The growing availability of geographically granular data make this approach to bubble prevention much more viable than in the past.
