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House Prices, Sales, And Time On The Market: A Search‐Theoretic Framework

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  • ANTONIA DÍAZ
  • BELÉN JEREZ

Abstract

We assess the ability of a standard search and matching framework to account for the cyclical properties of key macroeconomic time series of the housing market. We calibrate a model with aggregate demand and supply shocks to match selected business cycle properties of vacancies and sales in the United States. Our model reproduces the cyclical time series properties of house prices and the positive and negative comovement of prices with sales and time on the market, respectively. Search and matching frictions produce trading delays that augment the volatility of prices and propagate the effect of aggregate shocks to future periods.

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  • Antonia Díaz & Belén Jerez, 2013. "House Prices, Sales, And Time On The Market: A Search‐Theoretic Framework," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 54(3), pages 837-872, August.
  • Handle: RePEc:wly:iecrev:v:54:y:2013:i:3:p:837-872
    DOI: 10.1111/iere.12019
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    Cited by:

    1. Gan, Li & Wang, Pengfei & Zhang, Qinghua, 2018. "Market thickness and the impact of unemployment on housing market outcomes," Journal of Monetary Economics, Elsevier, vol. 98(C), pages 27-49.
    2. Conefrey, Thomas & Whelan, Karl, 2012. "Supply, Demand and Prices in the US Housing Market," Research Technical Papers 08/RT/12, Central Bank of Ireland.
    3. L. Rachel Ngai & Silvana Tenreyro, 2014. "Hot and Cold Seasons in the Housing Market," American Economic Review, American Economic Association, vol. 104(12), pages 3991-4026, December.
    4. Elliot Anenberg & Patrick Bayer, 2013. "Endogenous Sources of Volatility in Housing Markets: The Joint Buyer-Seller Problem," NBER Working Papers 18980, National Bureau of Economic Research, Inc.
    5. James Albrecht & Pieter Gautier & Susan Vroman, 2016. "Directed Search in the Housing Market," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 19, pages 218-231, January.
    6. de Wit, Erik R. & Englund, Peter & Francke, Marc K., 2013. "Price and transaction volume in the Dutch housing market," Regional Science and Urban Economics, Elsevier, vol. 43(2), pages 220-241.
    7. Rüdiger Bachmann & Daniel H. Cooper, 2012. "Cyclical and sectoral transitions in the U.S. housing market," Working Papers 12-17, Federal Reserve Bank of Boston.
    8. Gaetano Lisi, 2014. "Home-seekers in the Housing Market," International Real Estate Review, Global Social Science Institute, vol. 17(1), pages 47-62.
    9. Derek Stacey, 2012. "Information, Commitment, and Separation in Illiquid Housing Markets," 2012 Meeting Papers 401, Society for Economic Dynamics.
    10. Gaetano Lisi, 2013. "On the Functional Form of the Hedonic Price Function: A Matching-theoretic Model and Empirical Evidence," International Real Estate Review, Global Social Science Institute, vol. 16(2), pages 189-207.
    11. Allen Head & Huw Lloyd-Ellis & Hongfei Sun, 2014. "Search, Liquidity, and the Dynamics of House Prices and Construction," American Economic Review, American Economic Association, vol. 104(4), pages 1172-1210, April.
    12. Ren, Yu & Yuan, Yufei & Zhang, Yang, 2014. "Human capital, household capital and asset returns," Journal of Banking & Finance, Elsevier, vol. 42(C), pages 11-22.
    13. Díaz, Antonia & Jerez, Belén, 2010. "House prices, sales, and time on the market : a search-theoretic framework (Supplementary material)," UC3M Working papers. Economics we1034, Universidad Carlos III de Madrid. Departamento de Economía.
    14. Brian Peterson, 2012. "Fooled by Search: Housing Prices, Turnover and Bubbles," Staff Working Papers 12-3, Bank of Canada.

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    More about this item

    JEL classification:

    • R31 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location - - - Housing Supply and Markets
    • D83 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Search; Learning; Information and Knowledge; Communication; Belief; Unawareness
    • D40 - Microeconomics - - Market Structure, Pricing, and Design - - - General

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