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Estimating A Housing Phillips Curve
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Book Synopsis Estimating a Housing Phillips Curve by : Andreas Benedictow
Download or read book Estimating a Housing Phillips Curve written by Andreas Benedictow and published by . This book was released on 2023 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Using a high-resolution housing transaction data set, we examine the relationship between price changes and the unsold rate in the Norwegian housing market within a Phillips curve framework. We find that price changes and the unsold rate are associated, but our results indicate a reversed causality, from price changes to the unsold rate. We interpret our findings in a framework based on micro-foundations in which households decide on the sequence of buying and selling, i.e. whether to hold two or zero houses in the transition period. Data on individual sellers and buyers support the hypothesis that the propensity to hold two houses is pro-cyclical.
Book Synopsis How Low Can House Prices Go by : Federal Housing Federal Housing Finance Agency
Download or read book How Low Can House Prices Go written by Federal Housing Federal Housing Finance Agency and published by Createspace Independent Publishing Platform. This book was released on 2016-01-16 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt: We develop a theoretically-based statistical technique to identify a conservative lower bound for house prices. Leveraging a model based upon consumer and investor incentives, we are able to explain the depth of housing market downturns at both the national and state level over a variety of market environments. This approach performs well in several historical back tests and has strong out-of-sample predictive ability. When back-tested, our estimation approach does not understate house price declines in any state over the 1987 to 2001 housing cycle and only understates declines in three states during the most recent financial crisis. This latter result is particularly noteworthy given that the post-2001 estimates are performed out of- sample. Our measure of a conservative lower bound is attractive because it (1) provides a leading indicator of the severity of future downturns and (2) allows trough estimates to dynamically adjust as markets conditions change. This estimation technique could prove particularly helpful in measuring the credit risk associated with portfolios of mortgage assets as part of evaluating static stress tests or designing dynamic stress tests.
Book Synopsis How Low Can House Prices Go by : Federal Housing Finance Agency
Download or read book How Low Can House Prices Go written by Federal Housing Finance Agency and published by CreateSpace. This book was released on 2015-06-04 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt: We develop a theoretically-based statistical technique to identify a conservative lower bound for house prices. Leveraging a model based upon consumer and investor incentives, we are able to explain the depth of housing market downturns at both the national and state level over a variety of market environments. This approach performs well in several historical back tests and has strong out-of-sample predictive ability. When back-tested, our estimation approach does not understate house price declines in any state over the 1987 to 2001 housing cycle and only understates declines in three states during the most recent financial crisis. This latter result is particularly noteworthy given that the post-2001 estimates are performed outof- sample. Our measure of a conservative lower bound is attractive because it (1) provides a leading indicator of the severity of future downturns and (2) allows trough estimates to dynamically adjust as markets conditions change. This estimation technique could prove particularly helpful in measuring the credit risk associated with portfolios of mortgage assets as part of evaluating static stress tests or designing dynamic stress tests.
Book Synopsis House Prices and the Macroeconomy by : Charles Goodhart
Download or read book House Prices and the Macroeconomy written by Charles Goodhart and published by Oxford University Press. This book was released on 2007 with total page 247 pages. Available in PDF, EPUB and Kindle. Book excerpt: House price bubbles, and their aftermath, have become a focus of macro-economic policy concern in most developed countries. This book elucidates the two-way relationship between house-price fluctuations and economic fundamentals. Housing has many features which make it distinct from other assets, like equity. Real estate is not only an asset but also a durable consumption good for households, providing shelter and other housing services. As a result, a house is often the largest and most important asset of households and therefore accounts for a major share of household wealth. Similarly a large share of bank assets is tied to housing values. House price fluctuations may, therefore, have a major effect on economic activity and the soundness of the financial system. Following an introductory chapter, the book is structured into three parts. The first demonstrates the importance of house prices as determinants or indicators of inflation and economic activity. The second focuses on the inter-relationships between bank credit extension and housing prices, and how bubbles can lead to financial crises. The third discusses resultant public policy issues, such as whether, and how, to include housing prices in a general inflation index, and how to restrain the housing/bank credit cycle.
Author :Thomas G. Thibodeau Publisher :Springer Science & Business Media ISBN 13 :9780792398837 Total Pages :266 pages Book Rating :4.3/5 (988 download)
Book Synopsis House Price Indices by : Thomas G. Thibodeau
Download or read book House Price Indices written by Thomas G. Thibodeau and published by Springer Science & Business Media. This book was released on 1997-03-31 with total page 266 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book contains a special issue of the Journal of Real Estate Finance and Economics, comprising thirteen articles on house price measurement. These articles address the various procedures used to compute cross-sectional or temporal house price indices. Specifically, these articles contain research that: (1) evaluates hedonic, repeat sales, or hybrid approaches to constructing house price indices; (2) evaluates alternative sources of data on house prices and corresponding housing characteristics; (3) identifies the most influential land, structural, neighborhood, and proximity determinants of house prices (and associated changes in house prices); (4) provides a methodology for identifying housing market segments; (5) incorporates spatial autocorrelation in house price indices; and (6) provides more accurate estimates of the variance in house prices.
Book Synopsis Forecasting the Economics of Housing Needs by : Joseph G. Kowalski
Download or read book Forecasting the Economics of Housing Needs written by Joseph G. Kowalski and published by . This book was released on 1977 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays on Monetary Policy, Household Expectations, and Housing Prices by : Shihan Xie
Download or read book Essays on Monetary Policy, Household Expectations, and Housing Prices written by Shihan Xie and published by . This book was released on 2020 with total page 119 pages. Available in PDF, EPUB and Kindle. Book excerpt: Monetary policy in the U.S. has changed substantially in the past few decades. This thesis seeks to understand the effects of monetary policy through household expectations and housing prices. The first chapter proposes and estimates a dynamic model of household inflation expectations. The information flow constraint of the household leads to costly information monitoring. Households use a Bayesian learning model to form and update inflation expectations. The model identifies and corrects for sizable reporting and sampling errors prevalent in household surveys. The estimates show that better-educated households track inflation more closely and report their expectations more accurately. Household inflation expectations are less responsive to changes in the inflation target after the Great Recession. Model-implied household inflation expectations improve the fit of the expectation-augmented Phillips curve. Inattention from households makes it costlier for the Fed to lower inflation than would be the case if everyone is perfectly informed. The second chapter examines the differential effect of monetary policy shocks on U.S. local housing markets. By exploiting the heterogeneity in housing supply elasticity, I provide estimates of local housing price responses to monetary policy shocks in a large sample of metropolitan statistical areas. Given an expansionary shock that decreases the Federal Funds rate by 100 basis points, housing prices increase by 7.2% in cities with a highly inelastic housing supply (e.g., San Francisco), but by only 1.0% in cities with a very elastic housing supply (e.g., Iowa City) at the two-year horizon. To understand the monetary policy transmission mechanism in the housing market, I develop and estimate a structural model of the housing price with information friction. The third chapter surveys a number of important methods on the identification of monetary policy shocks and compares their estimated impacts on output, inflation and unemployment rate for pre- and post-1984 periods. In particular, identification using monetary SVAR or Romer-Romer method suggests substantial changes in the effects of monetary policy shocks. In contrast, the FAVAR method provides relatively consistent estimation for both periods. Tests for structural breaks point to parameter instability during 1979-1984. Such instability persists after accounting for GARCH effects.
Book Synopsis Spatial Econometrics: Methods and Models by : L. Anselin
Download or read book Spatial Econometrics: Methods and Models written by L. Anselin and published by Springer Science & Business Media. This book was released on 2013-03-09 with total page 295 pages. Available in PDF, EPUB and Kindle. Book excerpt: Spatial econometrics deals with spatial dependence and spatial heterogeneity, critical aspects of the data used by regional scientists. These characteristics may cause standard econometric techniques to become inappropriate. In this book, I combine several recent research results to construct a comprehensive approach to the incorporation of spatial effects in econometrics. My primary focus is to demonstrate how these spatial effects can be considered as special cases of general frameworks in standard econometrics, and to outline how they necessitate a separate set of methods and techniques, encompassed within the field of spatial econometrics. My viewpoint differs from that taken in the discussion of spatial autocorrelation in spatial statistics - e.g., most recently by Cliff and Ord (1981) and Upton and Fingleton (1985) - in that I am mostly concerned with the relevance of spatial effects on model specification, estimation and other inference, in what I caIl a model-driven approach, as opposed to a data-driven approach in spatial statistics. I attempt to combine a rigorous econometric perspective with a comprehensive treatment of methodological issues in spatial analysis.
Book Synopsis Price Expectations and the U.S. Housing Boom by : Pascal Towbin
Download or read book Price Expectations and the U.S. Housing Boom written by Pascal Towbin and published by International Monetary Fund. This book was released on 2015-07-30 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: Between 1996 and 2006 the U.S. has experienced an unprecedented boom in house prices. As it has proven to be difficult to explain the large price increase by observable fundamentals, many observers have emphasized the role of speculation, i.e. expectations about future price developments. The argument is, however, often indirect: speculation is treated as a deviation from a benchmark. The present paper aims to identify house price expectation shocks directly. To that purpose, we estimate a VAR model for the U.S. and use sign restrictions to identify house price expectation, housing supply, housing demand, and mortgage rate shocks. House price expectation shocks are the most important driver of the boom and account for about 30 percent of the real house price increase. We also construct a model-based measure of exogenous changes in price expectations and show that this measure leads a survey-based measure of changes in house price expectations. Our main identification scheme leaves open whether expectation shifts are realistic or unrealistic. In extensions, we provide evidence that price expectation shifts during the boom were primarily unrealistic and were only marginally affected by realistic expectations about future fundamentals.
Book Synopsis Views and Estimates of Standing Committees of the House, Joint Committee on Internal Revenue Taxation, and Joint Economic Committee, Together with Separate, Minority, Additional, and Dissenting Views, on the Congressional Budget for Fiscal Year ... by : United States. Congress. House. Committee on the Budget
Download or read book Views and Estimates of Standing Committees of the House, Joint Committee on Internal Revenue Taxation, and Joint Economic Committee, Together with Separate, Minority, Additional, and Dissenting Views, on the Congressional Budget for Fiscal Year ... written by United States. Congress. House. Committee on the Budget and published by . This book was released on 1977 with total page 898 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Monetary Policy and the Relative Price of Durable Goods by : Alessandro Cantelmo
Download or read book Monetary Policy and the Relative Price of Durable Goods written by Alessandro Cantelmo and published by International Monetary Fund. This book was released on 2017-12-22 with total page 81 pages. Available in PDF, EPUB and Kindle. Book excerpt: In a SVAR model of the US, the response of the relative price of durables to a monetary contraction is either flat or mildly positive. It significantly falls only if narrowly defined as the ratio between new-house and nondurables prices. These findings are rationalized via the estimation of a two-sector New-Keynesian (NK) models. Durables prices are estimated to be as sticky as nondurables, leading to a flat relative price response to a monetary shock. Conversely, house prices are estimated to be almost flexible. Such results survive several robustness checks and a three-sector extension of the NK model. These findings have implications for building two-sector NK models with durable and nondurable goods, and for the conduct of monetary policy.
Book Synopsis Asymmetry and Aggregation in the EU by : D. Mayes
Download or read book Asymmetry and Aggregation in the EU written by D. Mayes and published by Springer. This book was released on 2011-01-27 with total page 252 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents a clear exposition of what constitutes asymmetry in economics. It provides an empirical application of these ideas in the case of the EU. In particular, it shows how important asymmetry is for the appropriate design of policy in the Euro Area.
Book Synopsis A Bottom-Up Reduced Form Phillips Curve for the Euro Area by : Thomas McGregor
Download or read book A Bottom-Up Reduced Form Phillips Curve for the Euro Area written by Thomas McGregor and published by International Monetary Fund. This book was released on 2022-12-16 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: We develop a bottom-up model of inflation in the euro area based on a set of augmented Phillips curves for seven subcomponents of core inflation and auxiliary regressions for non-core items. We use the model’s disaggregated structure to explore which factors drove the deterioration in forecasting performance during the pandemic period and use these insights to improve on the ability to forecast inflation. In the baseline, the projection for core inflation is centered above 3 percent at end-2023, while headline inflation is expected to drop quite sharply over 2023, with energy base effects pulling inflation down from the currently very elevated levels to below 3 percent by 2023q4. The confidence intervals around these projections are wide given elevated uncertainty. We argue that the bottom-up approach offers a useful complement to the forecasters toolbox – even in the current uncertain environment - by improving forecast accuracy, shedding additional light on the drivers of inflation and providing a framework in which to apply ex post judgement in a structured way.
Book Synopsis Housing Market Spillovers by : Matteo Iacoviello
Download or read book Housing Market Spillovers written by Matteo Iacoviello and published by . This book was released on 2008 with total page 82 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis A Report to the Senate and House Committees on the Budget by : United States. Congressional Budget Office
Download or read book A Report to the Senate and House Committees on the Budget written by United States. Congressional Budget Office and published by . This book was released on 1994 with total page 88 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis House Price Methodology by : Marko Hannonen
Download or read book House Price Methodology written by Marko Hannonen and published by Suomen E-painos Oy. This book was released on with total page 51 pages. Available in PDF, EPUB and Kindle. Book excerpt: This booklet discusses some major methodological issues relating to the construction of house price models on a macro level. There is no single method that always produces the optimal results; the choice of a particular approach, method, theory, model and technique is context-dependent. This is especially true in housing markets, where a multitude of different submarkets exist. The methodology chosen should be based on sound theory, from which the basic concepts of analysis can be derived. This booklet discusses the use of potential models, which can be constructed using a general field theory, and which act as a theoretical foundation for further analysis. If we use potential models for house price analysis we can discover additional features from the data set that other approaches would simply miss. This e-book presents a pragmatic overview of key methodological concerns with the emphasis on the use of potential models. Theoretical methodological questions are left unanswered, and are not even presented in this text, since they have little relevancy to real-world modelling questions.
Author :International Monetary Fund. Asia and Pacific Dept Publisher :International Monetary Fund ISBN 13 :1484341880 Total Pages :90 pages Book Rating :4.4/5 (843 download)
Book Synopsis Australia by : International Monetary Fund. Asia and Pacific Dept
Download or read book Australia written by International Monetary Fund. Asia and Pacific Dept and published by International Monetary Fund. This book was released on 2018-02-20 with total page 90 pages. Available in PDF, EPUB and Kindle. Book excerpt: This Selected Issues paper on Australia discusses prospects and ramifications of China’s economic transition. Australia and China have strong linkages that are growing over time as China carries on with its economic transition. Trade in commodities and services are constantly growing. Australia has established itself as a dominant player in some key Chinese import needs, particularly for steel. The stylized facts also demonstrate that the rest of Asia is increasingly important for Australia. The charts for tourism, education, and the destination of exports illustrate that both advanced and emerging Asia already have a growing impact. The paper shows that the rest of Asia’s trade linkages with Australia are similar in size to the linkages between Australia and China. China may be Australia’s largest trading partner, but the rest of Asia is also a rapidly growing region, with potential markets for Australian expansion.
