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Time-Varying Housing Market Fluctuations: Evidence from the U.S. Housing Market

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  • Ozdemir Dicle

    (Faculty of Economics and Administrative Sciences, Mugla Sitki Kocman University, Mugla/Turkey)

Abstract

The objective of this paper is to investigate how the housing market and credit market factors contribute to US business and interest rate cycles in a time-varying transition probability modeling framework. The Markov switching results appear to exhibit periods of low-growth regime and highgrowth regime for both house and credit markets. The study also shows that the transition probabilities reflecting the regime switching behavior of business and interest rate cycles vary over time as functions of the house and credit market. We find that both the housing market and credit market contribute to whether the economy remains in a high-growth regime or moves into lowgrowth regime, and whether the interest rates remain in a low or high-growth regime. The results show that the housing market plays a leading role in affecting the time-varying probabilities between regimes for the business and interest rate cycles.

Suggested Citation

  • Ozdemir Dicle, 2020. "Time-Varying Housing Market Fluctuations: Evidence from the U.S. Housing Market," Real Estate Management and Valuation, Sciendo, vol. 28(2), pages 89-99, June.
    • Handle: RePEc:vrs:remava:v:28:y:2020:i:2:p:89-99:n:8
    DOI: 10.1515/remav-2020-0018
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    More about this item

    Keywords

    business cycles; housing market; Markov Switching; interest rate;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy

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