Time Varying Effects Of Housing Attributes And Economic Environment On Housing Price
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Time Varying Effects Of Housing Attributes And Economic Environment On Housing Price
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Author : Marina Friedrich
language : en
Publisher:
Release Date : 2023
Time Varying Effects Of Housing Attributes And Economic Environment On Housing Price written by Marina Friedrich and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2023 with categories.
We propose a flexible framework that allows for the relationship between housing prices and their determinants to vary over time. Our model incorporates housing-specific characteristics and macroeconomic variables, while accounting for a gradual global trend that reflects the unobserved external environment. We estimate the trend and coefficient curves by local linear estimation and propose a bootstrap procedure for conducting inference. By employing monthly data from the Dutch housing market, covering 60 municipalities from 2006 to 2020, the proposed models show the capability to accurately describe the comovements of housing prices. Our results show strong statistical evidence of time variation in the effects of housing attributes and macroeconomic variables on prices throughout the entire sample period, revealing that the unemployment rate plays a crucial role between approximately 2012 and 2017. The extracted latent global trend reveals a significant influence of the economic environment and takes the shape of a leading indicator of the property market index. Moreover, we find that both the housing characteristics and the external environment explain comparably high proportions of the variation in housing prices, which stresses the importance of including both components in empirical analyses.
Time Varying Role Of Macroeconomic Shocks On House Prices In The Us And Uk
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Author : Vasilios Plakandaras
language : en
Publisher:
Release Date : 2018
Time Varying Role Of Macroeconomic Shocks On House Prices In The Us And Uk written by Vasilios Plakandaras and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.
In this paper, we study the effect of macroeconomic shocks in the determination of house prices. Focusing on the U.S. and the U.K. housing market, we employ time-varying Vector Autoregression models using Bayesian methods covering the periods of 1830-2016 and 1845-2016 respectively. We consider real house prices, output growth, short-term interest rates and inflation as input variables in order to unveil the effect of macroeconomic shocks on house prices. From the examination of the impulse responses of house prices on macroeconomic shocks, we find that technology shocks dominate in the U.S. real estate market, while their effect is unimportant in the U.K. In contrast, monetary policy drives most of the evolution of the U.K. house prices, while transitory house supply shocks are unimportant in either country. These findings are further corroborated with the analysis of conditional volatilities and correlations to macroeconomic shocks. Overall, we are able to unveil the dynamic linkages in the relationship of the macro economy and house prices. Over time, we analyze the variations in economic events happening at the imposition of the shock and uncover characteristics missed in the time-invariant approaches of previous studies.
Time Varying Effects Of Housing And Stock Prices On U S Consumption
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Author : Beatrice Simo-Kengne
language : en
Publisher:
Release Date : 2016
Time Varying Effects Of Housing And Stock Prices On U S Consumption written by Beatrice Simo-Kengne and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with categories.
This paper applies a time-varying parameter vector autoregressive (TVP-VAR) approach to estimate the relative effects of housing and stock prices on US consumption over time. We use annual data from 1890 to 2012 and find that over different horizons and over time, generally the housing price positively affects consumption while the stock price negatively affects consumption. These opposite responses to changes in housing and stock prices suggest different mechanisms through which wealth affects consumption. Further, the housing price effect proves larger in absolute value than the stock price effect after 1980. Between 1980 and 2007, housing wealth generally exerted a larger effect on consumption. This sub-period includes the 1997/2002 asset price boom/bust where house prices continued to rise moderately as stock prices fell. Finally, the co-occurrence of the decline in both housing and stock prices during the 2007-2009 episode produced bigger effects of the housing price for the first five years of the impulse responses while the higher magnitude of the stock price effect appears in the 6-year horizon. These findings suggest that the magnitude of the relative price effects differs with both time and horizons and also depends on whether prices increase or decrease.
Formal Versus Informal Finance Evidence From China
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Author : Vojislav Maksimovic
language : en
Publisher: World Bank Publications
Release Date : 2008
Formal Versus Informal Finance Evidence From China written by Vojislav Maksimovic and has been published by World Bank Publications this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with Access to Finance categories.
Abstract: China is often mentioned as a counterexample to the findings in the finance and growth literature since, despite the weaknesses in its banking system, it is one of the fastest growing economies in the world. The fast growth of Chinese private sector firms is taken as evidence that it is alternative financing and governance mechanisms that support China's growth. This paper takes a closer look at firm financing patterns and growth using a database of 2,400 Chinese firms. The authors find that a relatively small percentage of firms in the sample utilize formal bank finance with a much greater reliance on informal sources. However, the results suggest that despite its weaknesses, financing from the formal financial system is associated with faster firm growth, whereas fund raising from alternative channels is not. Using a selection model, the authors find no evidence that these results arise because of the selection of firms that have access to the formal financial system. Although firms report bank corruption, there is no evidence that it significantly affects the allocation of credit or the performance of firms that receive the credit. The findings suggest that the role of reputation and relationship based financing and governance mechanisms in financing the fastest growing firms in China is likely to be overestimated.
House Prices And Birth Rates
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Author : Lisa J. Dettling
language : en
Publisher:
Release Date : 2011
House Prices And Birth Rates written by Lisa J. Dettling and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with Fertility, Human categories.
This project investigates how changes in Metropolitan Statistical Area (MSA)-level housing prices affect household fertility decisions. Recognizing that housing is a major cost associated with childrearing, and assuming that children are normal goods, we hypothesize that an increase in real estate prices will have a negative price effect on current period fertility. This applies to both potential first-time homeowners and current homeowners who might upgrade to a bigger house with the addition of a child. On the other hand, for current homeowners, an increase in MSA-level house prices might increase available home equity, leading to a positive effect on birth rates. Controlling for MSA fixed effects, trends, and time-varying conditions, our analysis finds that indeed, short-term increases in house prices lead to a decline in births among non-owners and a net increase among owners. Our estimates suggest that a 10 percent increase in house prices would lead to a 4 percent increase in births among home owners, and a roughly one percent decrease among non-owners. The net effect of house price changes on birth rates varies across demographic groups based on rates of home ownership. Our paper provides evidence that homeowners use some of their increased housing wealth, coming from increases in local area house prices, to fund their childbearing goals. More generally, the finding of a "home equity effect" demonstrates empirically that imperfect credit markets affect fertility timing.
House Prices And Home Owner Saving Behavior
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Author : Gary V. Engelhardt
language : en
Publisher:
Release Date : 1995
House Prices And Home Owner Saving Behavior written by Gary V. Engelhardt and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1995 with Homeowners categories.
This paper examines the empirical link between house price appreciation and the savings behavior of home owners during the 1980s. The analysis uses household asset and debt data for a sample of under age sixty-five home owning households from the 1984 and 1989 waves of the PSID to construct changes in real household wealth as a measure of household saving behavior. Cross-time and cross-regional variation in housing market conditions are used to identify behavior savings effects. The empirical analysis suggests that the estimated marginal propensity to consume out of real housing capital gains is 0.03 for the median saver household. However, there is an asymmetry in the saving response to both total and unanticipated real housing capital gains. All of the savings offset comes from households that experience real housing capital losses. Households that experience real gains do not change their saving behavior. The existence of this asymmetry casts doubt on the power of changes in house prices to explain the time series path of saving in the U.S.
The Us Housing Market
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Author : Hany Guirguis
language : en
Publisher:
Release Date : 2004
The Us Housing Market written by Hany Guirguis and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with categories.
The US housing market has experienced significant cyclical volatility over the last twenty-five years due to major structural changes and economic fluctuations. In addition, the housing market is generally considered to be weak form inefficient. Houses are relatively illiquid, exceptionally heterogeneous, and are associated with large transactions costs. As such, past research has shown that it is possible to predict, at least partially, the time path of housing prices. The ability to predict housing prices is important such that investors can make better asset allocation decisions, including the pricing and underwriting of mortgages. Most of the prior studies examining the US housing market have employed constant coefficent approaches to forecast house price movements. However, this approach is not optimal as an examination of data reveals substantial sub-sample parameter instability. To account for the parameter instability, we employ alternative estimation methodologies where the estimated parameters are allowed to vary over time. The results provide strong empirical evidence in favor of utilizing the rolling Generalized Autoregressive Conditional Heteroskedastic (GARCH) Model and the Kalman Filter with an Autoregressive Presentation (KAR) for the parameters' time variation. Lastly, we provide out-of-sample forecasts and demonstrate the precision of our approach.
Handbook Of Research On Climate Change And The Sustainable Financial Sector
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Author : Olarewaju, Odunayo Magret
language : en
Publisher: IGI Global
Release Date : 2021-06-25
Handbook Of Research On Climate Change And The Sustainable Financial Sector written by Olarewaju, Odunayo Magret and has been published by IGI Global this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-06-25 with Business & Economics categories.
Climate change is a major problem, generating both risks and opportunities that will have a direct impact on the economy and the financial sector. In recent years, climate change has threatened both the survival of the financial system and economic development. The growing occurrence of extreme climate events combined with the imprudent nature of economic growth can cause unsustainable levels of harm to the financial sectors. On the other hand, it presents a range of new business challenges. In contrast to the most evident physical risks, companies are vulnerable to transformational risks that arise from the reaction of society to climate change, such as technological change, regulation and markets that can boost the cost of doing business, threats to the profitability of existing goods, or effects on the value of the asset. Climate change also offers new business opportunities, and it has made research in the context of a sustainable financial sector indispensable. The Handbook of Research on Climate Change and the Sustainable Financial Sector focuses on the impacts of climate change on various sectors of the world economy. This book covers how businesses can improve their sustainability, the impact of climate change on the financial sector, and specifically, the impacts on financial services, supply chains, and the socio-economic status of the world. Beyond focusing on the impacts to the financial industry itself, this book assesses how climate change in the financial sector affects the well-being of society in areas such as unemployment, economic recessions, decreases in consumer purchases, and more. This book is essential for stockbrokers, business managers, directors, fund managers, financial analysts, consultants and actuaries, institutional investors, policymakers, practitioners, researchers, academicians, and students interested in a comprehensive view of the impact of climate change on the financial sector.
The Time Varying Impact Of Uncertainty Shocks On The Comovement Of Regional Housing Prices Of The United Kingdom
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Author : Oguzhan Cepni
language : en
Publisher:
Release Date : 2021
The Time Varying Impact Of Uncertainty Shocks On The Comovement Of Regional Housing Prices Of The United Kingdom written by Oguzhan Cepni and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021 with categories.
Housing And The Financial Crisis
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Author : Edward L. Glaeser
language : en
Publisher: University of Chicago Press
Release Date : 2013-08-19
Housing And The Financial Crisis written by Edward L. Glaeser and has been published by University of Chicago Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-08-19 with Business & Economics categories.
Conventional wisdom held that housing prices couldn’t fall. But the spectacular boom and bust of the housing market during the first decade of the twenty-first century and millions of foreclosed homeowners have made it clear that housing is no different from any other asset in its ability to climb and crash. Housing and the Financial Crisis looks at what happened to prices and construction both during and after the housing boom in different parts of the American housing market, accounting for why certain areas experienced less volatility than others. It then examines the causes of the boom and bust, including the availability of credit, the perceived risk reduction due to the securitization of mortgages, and the increase in lending from foreign sources. Finally, it examines a range of policies that might address some of the sources of recent instability.