Heterogeneous co‐movements in US state and metropolitan statistical area housing prices: New insights from quantile factor models

Previous research demonstrates that housing prices frequently move in tandem across regions, underscoring the interconnectedness and correlation present within housing markets. Building on this foundation, our study advances the analysis by examining quantile co‐movements and the synchronization between local and national housing markets. Using the quantile factor model across the full distribution of housing prices, we identify distinct factor structures at the lower and upper tails that contrast with those observed in the middle of the distribution. This analytic framework enables the detection of previously hidden factors influencing housing markets. With this approach, we illuminate how housing price dynamics interact across market segments, price levels, and geographic areas. Our findings reveal that co‐movements can vary substantially across low, stable, and high housing price regimes, thus providing more comprehensive and nuanced economic insights into the complex nature of housing price fluctuations.