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Exploring Metropolitan Housing Price Volatility
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Book Synopsis Exploring Metropolitan Housing Price Volatility by : Norman G. Miller
Download or read book Exploring Metropolitan Housing Price Volatility written by Norman G. Miller and published by . This book was released on 2015 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates dynamic interrelations between the volatility of single-family home appreciation and the rate of home value appreciation, personal income, population, unemployment rate, and GMP at the metropolitan level, using a large quarterly data set that covers 316 metropolises in the United States from 1978 to 2002. We use a novel three-step approach that allows for time-dependent expected home appreciation rates while controlling for unobserved metropolitan attributes and macro factors. We find that the appreciation volatility can be explained based on past home appreciation rate and volatility, exogenous shocks to the housing market, and population growth. The volatility affects expected future home value appreciation, as well as the growth rates of personal income and population. Last we find evidence that constrained housing supplies in more populated metropolises influence appreciation rates and volatility.
Book Synopsis Housing Price Volatility by : Reuben Mabutho Zwane
Download or read book Housing Price Volatility written by Reuben Mabutho Zwane and published by . This book was released on 2018 with total page 142 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Understanding House Price Volatility by : Bengte L. Evenson
Download or read book Understanding House Price Volatility written by Bengte L. Evenson and published by . This book was released on 2003 with total page 53 pages. Available in PDF, EPUB and Kindle. Book excerpt: The speed with which its house prices respond to real economic shocks is critical to the functioning of an economic market. This speed is determined relative to the magnitudes of house price changes on the off-equilibrium path, as the market adjusts. When such changes are caused by an unexpected shift in housing demand, which is a substantial component of the variation in house prices, the magnitudes are determined by the elasticity of housing supply. I examine local housing-supply dynamics in each of 47 U.S. metropolitan-area housing markets using a unique market-level panel dataset. The data are analyzed with a conditional vector-autoregression, which characterizes the dynamic responses of housing price and stock to an increase in housing demand caused by a shift in employment. These response time-paths are used to create measures of short-, medium-, and long-run supply elasticities. Both the time-paths and the implied elasticities vary widely. I use several area characteristics to explain the variation in the supply elasticity measures across metropolitan areas. The results suggest that an area's population, land area, historical growth rate, region, January temperature, age of housing stock and incentive to regulate housing are all important determinants of a market's house-price response.
Download or read book Journal of Housing Research written by and published by . This book was released on 2006 with total page 1430 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Research Handbook on Housing, the Home and Society by : Keith Jacobs
Download or read book Research Handbook on Housing, the Home and Society written by Keith Jacobs and published by Edward Elgar Publishing. This book was released on 2024-08-06 with total page 639 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dynamic Research Handbook explores key perspectives, topics and methodologies used to understand housing, the home and society. Pairing social theory with a broad range of case studies from the Global North and South, it offers a unique insight into the field.
Book Synopsis Endogenous Sources of Volatility in Housing Markets by : Elliot Anenberg
Download or read book Endogenous Sources of Volatility in Housing Markets written by Elliot Anenberg and published by . This book was released on 2015 with total page 63 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper presents new empirical evidence that internal movement - selling one home and buying another - by existing homeowners within a metropolitan housing market is especially volatile and the main driver of fluctuations in transaction volume over the housing market cycle. We develop a dynamic search equilibrium model that shows that the strong pro-cyclicality of internal movement is driven by the cost of simultaneously holding two homes, which varies endogenously over the cycle. We estimate the model using data on prices, volume, time-on-market, and internal moves drawn from Los Angeles from 1988-2008 and use the fitted model to show that frictions related to the joint buyer-seller problem: (i) substantially amplify booms and busts in the housing market, (ii) create counter-cyclical build-ups of mismatch of existing owners with their homes, and (iii) generate externalities that induce significant welfare loss and excess price volatility.
Book Synopsis Risk and Return in the U.S. Housing Market by : Susanne E. Cannon
Download or read book Risk and Return in the U.S. Housing Market written by Susanne E. Cannon and published by . This book was released on 2011 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper carries out an asset-pricing analysis of the U.S. metropolitan housing market. We use zip code level housing data to study the cross-sectional role of volatility, price level, stock market risk and idiosyncratic volatility in explaining housing returns. While the related literature tends to focus on the dynamic role of volatility and housing returns within submarkets over time, our risk-return analysis is cross-sectional and covers the national U.S. metropolitan housing market. The study provides a number of important findings on the asset-pricing features of the U.S. housing market. Specifically, we find i) a positive relation between housing returns and volatility with returns rising by 2.48% annually for a 10% rise in volatility, ii) a positive but diminishing price effect on returns, iii) that stock market risk is priced directionally in the housing market and iv) idiosyncratic volatility is priced in housing returns. Our results on the return-volatility-price relation are robust to i) MSA (metropolitan statistical area) clustering effects and ii) differences in socioeconomic characteristics among submarkets related to income, employment rate, managerial employment, owner occupied housing, gross rent and population density.
Book Synopsis U.S. Housing Market Volatility by : Xibin Zhang
Download or read book U.S. Housing Market Volatility written by Xibin Zhang and published by . This book was released on 2012 with total page 180 pages. Available in PDF, EPUB and Kindle. Book excerpt: The first chapter considers the determinants of U.S. housing market volatility. With volatility defined as the sample variance of home value monthly returns during a given quarter, a model of volatility from equilibrium in the housing market is derived. Supply and demand effects on housing return volatility for the U.S. as a whole and for a panel of 16 cities are tested, during the period 1985:1-2009:4. There are some statistically significant links between volatility and fundamentals, but significance generally plummets when fundamentals are allowed to be endogenous. These results are consistent with time plots, which show no clear historical link between housing return volatility and basic market factors. This enigma may be due to data limitations and/or short-run disequilibrium in home prices. In Chapter 2, GARCH(1,1) model family are utilized to describe dynamics of U.S. national and metropolitan housing market volatilities ranging from the first month of 1985 to the last month of 2009. ARCH effects of housing return exist in U.S. national and 15 MSA markets. Housing return volatility positively influences housing return in some MSAs and negatively in some other MSAs. The last chapter discusses the housing return volatility spillovers across U.S. metropolitan markets. House return volatilities in 15 MSAs ranging from the first month of 1985 to the last month of 2009 are estimated by the standard GARCH(1,1) model. The results of the vector error correction model and the vector autoregressive models show that there are unidirectional and bidirectional housing return volatility spillover effects among not only contiguous MSAs but also noncontiguous MSAs. More volatility spillovers happen among the MSAs that share the same economic characters. The long-run housing return volatility convergence exists in U.S. market.
Book Synopsis Forecasting Models for the German Office Market by : Alexander Bönner
Download or read book Forecasting Models for the German Office Market written by Alexander Bönner and published by Springer Science & Business Media. This book was released on 2009-04-22 with total page 193 pages. Available in PDF, EPUB and Kindle. Book excerpt: The applicability and performance of ARIMA, GARCH and multivariate regression models are analyzed and city as well as forecasting horizon-specific patterns are determined and interpreted by Alexander Bönner. Univariate rent forecasting models generally outperform multivariate rent forecasting regression models in the short run. In the long run, multivariate regression models dominate.
Book Synopsis Rational Expectations, Market Fundamentals and Housing Price Volatility by : Jim Clayton
Download or read book Rational Expectations, Market Fundamentals and Housing Price Volatility written by Jim Clayton and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper derives a forward-looking rational expectations house price model and empirically tests its ability to explain short-run fluctuations in real house prices. A novel approach to proxying the imputed rents of owner-occupied housing, as a function of observable housing market fundamentals, is derived and combined with a housing market arbitrage relation to derive a present value model for real house prices. Tests of the rational expectations, nonlinear cross-equation restrictions reject the joint null hypothesis of rational expectations and the asset-based housing price model for quarterly, single-detached house prices in the city of Vancouver, British Columbia, over the 1979-1991 sample period. The model fails to fully capture observed house price dynamics in two real estate booms but tracks real house prices well in less volatile times, suggesting that prices may temporarily deviate from fundamental values in real estate price cycles.
Book Synopsis Handbook of Volatility Models and Their Applications by : Luc Bauwens
Download or read book Handbook of Volatility Models and Their Applications written by Luc Bauwens and published by John Wiley & Sons. This book was released on 2012-03-22 with total page 566 pages. Available in PDF, EPUB and Kindle. Book excerpt: A complete guide to the theory and practice of volatility models in financial engineering Volatility has become a hot topic in this era of instant communications, spawning a great deal of research in empirical finance and time series econometrics. Providing an overview of the most recent advances, Handbook of Volatility Models and Their Applications explores key concepts and topics essential for modeling the volatility of financial time series, both univariate and multivariate, parametric and non-parametric, high-frequency and low-frequency. Featuring contributions from international experts in the field, the book features numerous examples and applications from real-world projects and cutting-edge research, showing step by step how to use various methods accurately and efficiently when assessing volatility rates. Following a comprehensive introduction to the topic, readers are provided with three distinct sections that unify the statistical and practical aspects of volatility: Autoregressive Conditional Heteroskedasticity and Stochastic Volatility presents ARCH and stochastic volatility models, with a focus on recent research topics including mean, volatility, and skewness spillovers in equity markets Other Models and Methods presents alternative approaches, such as multiplicative error models, nonparametric and semi-parametric models, and copula-based models of (co)volatilities Realized Volatility explores issues of the measurement of volatility by realized variances and covariances, guiding readers on how to successfully model and forecast these measures Handbook of Volatility Models and Their Applications is an essential reference for academics and practitioners in finance, business, and econometrics who work with volatility models in their everyday work. The book also serves as a supplement for courses on risk management and volatility at the upper-undergraduate and graduate levels.
Book Synopsis Time Variation in Housing Dynamics by : Nicole Venus
Download or read book Time Variation in Housing Dynamics written by Nicole Venus and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The goal of this thesis is to examine the time-varying dynamics of the housing market in the United States, Netherlands, France and Italy. To this end, housing dynamics are analyzed in a time-varying parameter vector autoregressive model with stochastic volatility (TVP-SV-VAR). A monetary policy, housing supply, housing demand and productivity shock to the non-housing sector are identified by sign restrictions. The empirical evidence demonstrates the need to account for time variation in both coefficients and volatilities. For all countries except France, structural analysis indicates that the reaction of house prices to a monetary policy shock is weaker when property markets are bullish. In France, where no asymmetric pattern in visible, increased responsiveness appears to coincide with mortgage market liberalization. Historical decomposition suggests that monetary policy shocks only played a supporting role in the recent housing boom, whereas housing-related and productivity shocks have fueled house price growth at the turn of the millennium.
Book Synopsis The Microstructure of Housing Markets by : Alina Arefeva
Download or read book The Microstructure of Housing Markets written by Alina Arefeva and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation studies the implications of search frictions and pricing mechanisms for house prices. Many economists believe that US house prices fluctuate over time between booms and busts, and are volatile relative to fundamentals, such as rents or income in a local housing market. This excess volatility is a puzzle relative to conventional models of house prices in the literature. My dissertation aims to explain this puzzle. To explain the high volatility of house prices I substitute hypothesis of the Nash bargaining price determination, prevailing in the literature, with the auction price determination. With Nash bargaining a seller bargains with a buyer one-to-one. In practice, especially so in booms, a seller deals with multiple buyers simultaneously and sells to the highest bidder. A natural way to model this is to use an auction model. When house prices are determined in an auction instead of Nash bargaining, house prices fluctuate more, which helps explain the volatility of house prices and fluctuations between booms and busts. The dissertation consists of two related essays on the microstructure of the housing markets. The first essay explores the consequences of the pricing mechanisms for the quantitative behavior of the house prices over time in an equilibrium search model of a local housing market. The second essay asks whether the equilibrium allocations of these search models are constrained efficient. The first essay shows that the type of the pricing mechanism crucially affects the volatility of the house prices in response to the shocks to a local housing market. Specifically, if the house prices are determined in auctions rather than by one-to-one negotiation a la Nash bargaining, then the house prices are four to fifteen time more volatile if shocks to the housing market affect the participation of buyers, for example, shock to the inflow of buyers or rents. If the shocks affect the discount factor or the expectation of the housing services, then it is the opposite, that is the house prices are more volatile in the Nash bargaining model than in the auction model. Many economists agree that the housing boom-bust episode 2000-2007 was fueled by the inflow of the buyers due to the decrease in the mortgage lending standards. For these types of shocks, the auction model produces highly volatile house price growth, high enough to match the observed volatility in the local housing markets in the US. The intuition for higher volatility in the auctions as compared to the Nash bargaining comes from the differences in the outside options of the seller in the two models. The seller in the Nash bargaining model negotiates with only one buyer per period, while the seller in the auction model can meet several buyers at the same time. Thus, in the auction model the outside option of the seller is to wait till tomorrow to potentially meet several buyers, while in the Nash bargaining model the seller can enjoy a company of only one buyer. In the hot market there are many interested buyers on the market which is capitalized in the option value to sell. Because of the sensitivity of the option value to sell to the current state of the market, the house prices fluctuate more. The second essay asks whether the dynamic equilibrium model of the random search with auctions, proposed in the first essay, produces a socially efficient allocation, constrained by search frictions. The main result is that the equilibrium random search model with an auction produces an inefficient allocation. The inefficiency in the random search model comes from the monopoly power of the seller in the auction model. Buyers are visiting sellers without observing the ex-post terms of trade, and, after the meeting has occurred, the seller becomes a local monopolist, because the buyer has to incur search and waiting costs to meet another seller. The distortion can be corrected by allowing the sellers to advertise and commit to the trading mechanisms by posting the reservation price for the auction and commit to this price. Having observed these prices, the buyers then direct their search to the seller with the most attractive terms or with least competition. This alleviates the externality present in the random search model. The paper extends this result from the static setting, analyzed in the literature, to the dynamic setting.
Book Synopsis Patterns and Determinants of Metropolitan House Prices, 1977-91 by : Jesse M. Abraham
Download or read book Patterns and Determinants of Metropolitan House Prices, 1977-91 written by Jesse M. Abraham and published by . This book was released on 1992 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: Real metropolitan house prices have been quite volatile during the 1977-91 period, with half of our 30 areas having annual increases of above 15 percent in a single year and a third having decreases greater than 7.5 percent. Drawing on Capozza and Helsley's models of real land prices, we express real house price changes as a function of the rate of change in employment, real income growth, real construction cost inflation, and changes in real after-tax interest rates. Our explanatory power varies widely by region. We do quite well for the half of our cities in the more stable Upper Midwest and Southeast, less well for the coastal cities, and dismally for the two Texas cities.
Author :British Library of Political and Economic Science Staff Publisher :Routledge ISBN 13 :9780415447171 Total Pages :664 pages Book Rating :4.4/5 (471 download)
Book Synopsis IBSS: Economics: 2006 Vol. 55 by : British Library of Political and Economic Science Staff
Download or read book IBSS: Economics: 2006 Vol. 55 written by British Library of Political and Economic Science Staff and published by Routledge. This book was released on 2007-10-31 with total page 664 pages. Available in PDF, EPUB and Kindle. Book excerpt: First published in 2007. Routledge is an imprint of Taylor & Francis, an informa company.
Book Synopsis The Housing Boom and Bust by : Thomas Sowell
Download or read book The Housing Boom and Bust written by Thomas Sowell and published by Basic Books (AZ). This book was released on 2009-05-12 with total page 194 pages. Available in PDF, EPUB and Kindle. Book excerpt: Explains how we got into the current economic disaster that developed out of the economics and politics of the housing boom and bust. The "creative" financing of home mortgages and "creative" marketing of financial securities based on these mortgages to countries around the world, are part of the story of how a financial house of cards was built up--and then collapsed.
Book Synopsis Analysis of the Housing Market in the Metropolitan Areas in the United States by : Yarui Li
Download or read book Analysis of the Housing Market in the Metropolitan Areas in the United States written by Yarui Li and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The housing market plays a significant role in shaping the economic and social well-being of U.S. households. It helps spur U.S. economic growth when house prices rise, and drags the economic growth when house prices drop. In this dissertation, an analysis is conducted to project the direction of the U.S. housing market and to discover how it interacts with economic fundamentals. New pieces of information are found, which are deemed to facilitate decision making for both policy makers and investors. In the first part of the dissertation, the groupings of U.S. housing markets are studied using cluster and discriminant analysis. Three clusters are found, which are located in the central, the east coast, and the west coast of US. There are no price signals transmitted among these housing market clusters, nor within each cluster. Thus, the communication of information in the housing market is through the process of utility convergence of marginal residents, and no price convergence across regions is found. Next, the impact of credit constraint on the house prices is examined with the stochastic components of the price series being considered. Both a simulation technique and a DAG approach are employed. The resulting causal pattern shows that credit constraints affect the house prices directly and positively. Moreover, credit constraints work as an intermediary, passing the influence of the house investor, household income, and user cost onto house prices, which suggests that the credit relaxation policy should be carried out with caution when house inventory and household income send inconsistent signals. Last, the model selection for house price analysis is discussed from the perspective of large-scale models -- dynamic factor (DFM) model and large-scale Bayesian VAR (LBVAR) model. The LBVAR models are found to have superior performance compared to the DFM model throughout the prediction period. Also, it is found that the combined forecasts do not necessarily outperform individual forecasts. Even though independent information from different individual models improves the forecast accuracy, the benefit gained from marginal information is offset by the larger error brought by such combination. The electronic version of this dissertation is accessible from http://hdl.handle.net/1969.1/151894
