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Sources of Fluctuations in the Housing Market

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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]

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Bibliographic Info

Article provided by Taylor & Francis Journals in its journal International Economic Journal.

Volume (Year): 13 (1999)
Issue (Month): 1 ()
Pages: 57-70

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Handle: RePEc:taf:intecj:v:13:y:1999:i:1:p:57-70

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  1. N. Gregory Mankiw & David N. Weil, 1990. "The Baby Boom, The Baby Bust, and the Housing Market," NBER Working Papers 2794, National Bureau of Economic Research, Inc.
  2. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
  3. Robert J. Barro & Chaipat Sahasakul, 1983. "Measuring the Average Marginal Tax Rate from the Individual Income Tax," University of Chicago - George G. Stigler Center for Study of Economy and State 26, Chicago - Center for Study of Economy and State.
  4. Poterba, James M, 1984. "Tax Subsidies to Owner-occupied Housing: An Asset-Market Approach," The Quarterly Journal of Economics, MIT Press, vol. 99(4), pages 729-52, November.
  5. 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.
  6. Topel, Robert H & Rosen, Sherwin, 1988. "Housing Investment in the United States," Journal of Political Economy, University of Chicago Press, vol. 96(4), pages 718-40, August.
  7. Swanson, N.R. & Granger, C.W.J., 1994. "Impulse Response Functions Based on Causal Approach to Residual Orthogonalization in Vector Autoregressions," Papers 9-94-1, Pennsylvania State - Department of Economics.
  8. DiPasquale Denise & Wheaton William C., 1994. "Housing Market Dynamics and the Future of Housing Prices," Journal of Urban Economics, Elsevier, vol. 35(1), pages 1-27, January.
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