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Modeling House Price Synchronization across the U.S. States and their Time-Varying Macroeconomic Linkages

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  • Marfatia Hardik A.

    (Department of Economics, Northeastern Illinois University, 5500 N St Louis Ave, BBH 344G, Chicago, IL60625, USA)

Abstract

This paper analyzes the time-varying impact of macroeconomic forces on the synchronization in housing movements across all the U.S. states. Using a Bayesian modeling approach, the house price movements are decomposed into national, regional and state-specific factors. We then analyze the time-varying impact of macroeconomic forces on these national and regional factors. Evidence suggests that in several Western and Eastern states the house price variations are dominated by the national factor, whereas the regional factor dominates the Southern and Midwestern markets. These factors are found to have a time-varying relationship with most macroeconomic indicators with particularly pronounced time-variation caused by national house prices, inflation rate and consumer sentiments.

Suggested Citation

  • Marfatia Hardik A., 2021. "Modeling House Price Synchronization across the U.S. States and their Time-Varying Macroeconomic Linkages," Journal of Time Series Econometrics, De Gruyter, vol. 13(1), pages 73-117, January.
    • Handle: RePEc:bpj:jtsmet:v:13:y:2021:i:1:p:73-117:n:1
    DOI: 10.1515/jtse-2017-0014
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    More about this item

    Keywords

    Bayesian dynamic factor model; housing market synchronizations; time-varying linkages; C32; E32; R30;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • R30 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location - - - General

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