Housing Prices and Fundamentals: The Role of a Supply Shifter
AbstractThis paper empirically investigates cointegrating relation between housing prices and economic fundamental variables in the US housing market. Employing simple yet rigorous econometric techniques, the present paper finds strong evidence in favor of cointegrating relations in most US states when both the demand and supply side fundamental variables are included in the cointegrating regression. This casts doubt on the previous empirical work that reported weak or no cointegrating relation of housing prices with mostly demand-side fundamental variables, which may have a misspecification problem. Further, cointegrating vector estimates seem consistent with economic theories only when both side fundamental variables are used.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 28556.
Date of creation: 01 Feb 2011
Date of revision:
Housing prices; cointegration;
Other versions of this item:
- Nazif Durmaz, 2011. "Housing Prices and Fundamentals: The Role of a Supply Shifter," Economics Bulletin, AccessEcon, vol. 31(3), pages 2468-2479.
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
- R31 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location - - - Housing Supply and Markets
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