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Sources of Fluctuations in the Housing Market

Author

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  • Kim Myeong-Soo
  • N. Edward Coulson

Abstract

In this study, sources of economic fluctuations in the housing market are investigated using U.S. data. A structural VAR (vector autoregressive) model is set up with a new method of ordering the residuals introduced by swanson and granger (1997) that is based on an analysis of the contemporaneous error structure. To specify the sources of fluctuations in the housing market, several important innovations are included in the model: a marginal income tax rate shock, an interest rate shock, a factor cost shock, a housing supply shock, an income shock, a housing demand shock,a residential price shock, and a housing price shock. Empirical results show that the interest rate shock appears to be the most significant innovation among all shocks, although the marginal federal income tax rate shock, the housing price shock, and the factor price for housing supply shock also play important roles in explaininig fluctuations in the housing market. [R0,R1]

Suggested Citation

  • Kim Myeong-Soo & N. Edward Coulson, 1999. "Sources of Fluctuations in the Housing Market," International Economic Journal, Taylor & Francis Journals, vol. 13(1), pages 57-70.
    • Handle: RePEc:taf:intecj:v:13:y:1999:i:1:p:57-70
    DOI: 10.1080/10168739900000029
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    References listed on IDEAS

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    1. Rosen, Harvey S & Rosen, Kenneth T, 1980. "Federal Taxes and Homeownership: Evidence from Time Series," Journal of Political Economy, University of Chicago Press, vol. 88(1), pages 59-75, February.
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    7. Topel, Robert H & Rosen, Sherwin, 1988. "Housing Investment in the United States," Journal of Political Economy, University of Chicago Press, vol. 96(4), pages 718-740, August.
    8. Barro, Robert J. & Sahasakul, Chaipat, 1983. "Measuring the Average Marginal Tax Rates from Social Security and the Individual Income Tax," Working Papers 29, The University of Chicago Booth School of Business, George J. Stigler Center for the Study of the Economy and the State.
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