Author: Jing Zhang
Publisher:
ISBN:
Category :
Languages : en
Pages : 133
Book Description
The first essay questions the common treatment in the housing literature that the logarithm of real house price has a unit root. Those papers study the cointegration relationship of real house price and economic fundamental variables such as real income, and apply the error correction specification for modeling and forecasting real house prices. My study argues that the logarithm of real house price is not a unit root process. Instead, the evidence from a 120-year national dataset and metro area level and state level panel data sets point towards trend stationarity with structural breaks. I also find that the apparent reason that the most cited papers in the literature do not reject a unit root is that they do not include the most recent house price data. One result of this conclusion is that the validity of analyses of house prices based on cointegration and error correction models is questioned.
Three Essays on House Prices
Author: Jing Zhang
Publisher:
ISBN:
Category :
Languages : en
Pages : 133
Book Description
The first essay questions the common treatment in the housing literature that the logarithm of real house price has a unit root. Those papers study the cointegration relationship of real house price and economic fundamental variables such as real income, and apply the error correction specification for modeling and forecasting real house prices. My study argues that the logarithm of real house price is not a unit root process. Instead, the evidence from a 120-year national dataset and metro area level and state level panel data sets point towards trend stationarity with structural breaks. I also find that the apparent reason that the most cited papers in the literature do not reject a unit root is that they do not include the most recent house price data. One result of this conclusion is that the validity of analyses of house prices based on cointegration and error correction models is questioned.
Publisher:
ISBN:
Category :
Languages : en
Pages : 133
Book Description
The first essay questions the common treatment in the housing literature that the logarithm of real house price has a unit root. Those papers study the cointegration relationship of real house price and economic fundamental variables such as real income, and apply the error correction specification for modeling and forecasting real house prices. My study argues that the logarithm of real house price is not a unit root process. Instead, the evidence from a 120-year national dataset and metro area level and state level panel data sets point towards trend stationarity with structural breaks. I also find that the apparent reason that the most cited papers in the literature do not reject a unit root is that they do not include the most recent house price data. One result of this conclusion is that the validity of analyses of house prices based on cointegration and error correction models is questioned.
Three Essays on House Price Inflation
Author: Ronald Franklin Ferguson
Publisher:
ISBN:
Category : Housing
Languages : en
Pages : 470
Book Description
Publisher:
ISBN:
Category : Housing
Languages : en
Pages : 470
Book Description
House Price Dynamics and Traffic Mode Choice
Author: Thomas Maier
Publisher:
ISBN:
Category :
Languages : en
Pages : 141
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages : 141
Book Description
Three essays on real estate finance
Author: Xiaolong Liu
Publisher: Rozenberg Publishers
ISBN: 9036101999
Category :
Languages : en
Pages : 132
Book Description
Publisher: Rozenberg Publishers
ISBN: 9036101999
Category :
Languages : en
Pages : 132
Book Description
Three Essays of Housing Price Dynamics
Author: Wensheng Kang
Publisher:
ISBN:
Category : Electronic dissertations
Languages : en
Pages : 70
Book Description
This dissertation consists of three essays. The first essay estimates the joint effects of spatial diffusion and high-tech industry fluctuations on housing prices. The work finds these effects are significant but generate different housing price dynamics. The spatial diffusion effect is instantaneous but short-lived, whereas the high tech industry effect is persistent. This conclusion is supported by estimates of a dynamic panel model using data of 42 MSAs (Metropolitan Statistics Area) and Vector Autoregressive models using data of each MSA. The second essay examines the gain of housing portfolio efficiency obtainable through a mixed portfolio by combining geographic characteristics and high-tech industry activities across 40 metropolitan areas. A Bayesian stochastic search is conducted to compute the efficient covariance matrix for the high-dimensional posterior distribution of the panel-data model. Quadratic programming of Fortran/IMSL subroutines is applied to simulate the risk-return efficient frontier of various diversification strategies. The evidence shows that the mixed diversification strategy outperforms the geography based strategy. The gain is superior and can reach as high as 50% in relative risk reduction during high-tech cycle growth periods. The third essay examines the transmission mechanism of tech-pole housing prices and investigates the economic forces behind it. For this purpose, I develop a MCMC algorithm to extract the common stochastic trend and cycle of the integrating prices and conduct Bayesian stochastic search for restriction selection of the panel data model. The evidence shows that the transmission magnitude and persistence depend importantly on the degree of IT-industry concentration between two metropolitan areas. While the common stochastic trend behind the price dynamics is primarily determined by normal income, the monetary policy is responsible for the common boom and bust of tech-pole housing cycles. The policy implication for the real asset pricing and risk hedging strategies are also discussed.
Publisher:
ISBN:
Category : Electronic dissertations
Languages : en
Pages : 70
Book Description
This dissertation consists of three essays. The first essay estimates the joint effects of spatial diffusion and high-tech industry fluctuations on housing prices. The work finds these effects are significant but generate different housing price dynamics. The spatial diffusion effect is instantaneous but short-lived, whereas the high tech industry effect is persistent. This conclusion is supported by estimates of a dynamic panel model using data of 42 MSAs (Metropolitan Statistics Area) and Vector Autoregressive models using data of each MSA. The second essay examines the gain of housing portfolio efficiency obtainable through a mixed portfolio by combining geographic characteristics and high-tech industry activities across 40 metropolitan areas. A Bayesian stochastic search is conducted to compute the efficient covariance matrix for the high-dimensional posterior distribution of the panel-data model. Quadratic programming of Fortran/IMSL subroutines is applied to simulate the risk-return efficient frontier of various diversification strategies. The evidence shows that the mixed diversification strategy outperforms the geography based strategy. The gain is superior and can reach as high as 50% in relative risk reduction during high-tech cycle growth periods. The third essay examines the transmission mechanism of tech-pole housing prices and investigates the economic forces behind it. For this purpose, I develop a MCMC algorithm to extract the common stochastic trend and cycle of the integrating prices and conduct Bayesian stochastic search for restriction selection of the panel data model. The evidence shows that the transmission magnitude and persistence depend importantly on the degree of IT-industry concentration between two metropolitan areas. While the common stochastic trend behind the price dynamics is primarily determined by normal income, the monetary policy is responsible for the common boom and bust of tech-pole housing cycles. The policy implication for the real asset pricing and risk hedging strategies are also discussed.
Three essays on housing market and spatial disamenities
Author: Lin Cui
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
Book Description
Three Essays on the Housing Market
Author: Fei Ding
Publisher:
ISBN:
Category : Business cycles
Languages : en
Pages : 198
Book Description
Publisher:
ISBN:
Category : Business cycles
Languages : en
Pages : 198
Book Description
Three Essays on Relative House Size and House Price
Author: Susane J. Leguizamon
Publisher:
ISBN:
Category : Econometrics
Languages : en
Pages :
Book Description
Publisher:
ISBN:
Category : Econometrics
Languages : en
Pages :
Book Description
House Prices, Housing Tenure, and Happiness
Author: Steven John Carter
Publisher:
ISBN: 9781109109894
Category :
Languages : en
Pages : 214
Book Description
This dissertation consists of three papers in applied econometrics. Each chapter explores multiple estimation methods to answer the proposed questions.
Publisher:
ISBN: 9781109109894
Category :
Languages : en
Pages : 214
Book Description
This dissertation consists of three papers in applied econometrics. Each chapter explores multiple estimation methods to answer the proposed questions.
Three Essays on the Housing Market and the Macroeconomy
Author: Stefanie J. Huber
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
Book Description
This thesis sheds light on certain macroeconomic aspects of the housing market. Chapter 1 explores a novel channel for house price bubble formation: the demand for housing consumption. I argue that the lower the demand for housing consumption, the larger the maximum bubble size, and the larger economies' vulnerability to house price bubbles. In terms of policy implications, I show that a help-to-buy scheme makes the economy more bubble-prone, while rental subsidies are an effective tool to reduce the prevalence of house price bubbles. Using a laboratory experiment, Chapter 2 supports the theoretical and empirical findings of Chapter 1. Chapter 3 investigates whether the persistent cross-country differences in homeownership rates are driven by cultural tastes. Analyzing the homeownership attitudes of second-generation immigrants in the United States leads to robust evidence for this hypothesis.
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
Book Description
This thesis sheds light on certain macroeconomic aspects of the housing market. Chapter 1 explores a novel channel for house price bubble formation: the demand for housing consumption. I argue that the lower the demand for housing consumption, the larger the maximum bubble size, and the larger economies' vulnerability to house price bubbles. In terms of policy implications, I show that a help-to-buy scheme makes the economy more bubble-prone, while rental subsidies are an effective tool to reduce the prevalence of house price bubbles. Using a laboratory experiment, Chapter 2 supports the theoretical and empirical findings of Chapter 1. Chapter 3 investigates whether the persistent cross-country differences in homeownership rates are driven by cultural tastes. Analyzing the homeownership attitudes of second-generation immigrants in the United States leads to robust evidence for this hypothesis.