IDEAS home Printed from https://ideas.repec.org/p/fip/fedfwp/2011-24.html
   My bibliography  Save this paper

Regime shifts in real estate markets: Time-varying effects of the U.S. and Japanese economies on house prices in Hawaii

Author

Listed:
  • John Krainer
  • James A. Wilcox

Abstract

We show that house prices may be driven entirely by the demands of one identifiable group for several years and then by demands of another group at other times. We present evidence that house prices in Hawaii were subject to such regime shifts. Prices responded to demands associated with American income and wealth for most years from 1975 through 2008. From the middle of the 1980s through the early 1990s, however, house prices responded to Japanese income and wealth. Statistical tests indicate that the regime-shifting model outperformed the constant-coefficient model. The regime shifting model helps explain why and by how much elasticities with respect to income and wealth and volatilities of house prices in Hawaii varied over time.

Suggested Citation

  • John Krainer & James A. Wilcox, 2011. "Regime shifts in real estate markets: Time-varying effects of the U.S. and Japanese economies on house prices in Hawaii," Working Paper Series 2011-24, Federal Reserve Bank of San Francisco.
    • Handle: RePEc:fip:fedfwp:2011-24
    as

    Download full text from publisher

    File URL: http://www.frbsf.org/publications/economics/papers/2011/wp11-24bk.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. repec:bla:jfinan:v:59:y:2004:i:6:p:2959-3004 is not listed on IDEAS
    2. Joe Peek & James A. Wilcox, 1991. "The Measurement and Determinants of Single‐Family House Prices," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 19(3), pages 353-382, September.
    3. Chiaki Moriguchi & Emmanuel Saez, 2008. "The Evolution of Income Concentration in Japan, 1886-2005: Evidence from Income Tax Statistics," The Review of Economics and Statistics, MIT Press, vol. 90(4), pages 713-734, November.
    4. Norman G. Miller & Michael A. Sklarz & Nicholas Ordway, 1988. "Japanese Purchases, Exchange Rates, and Speculation in Residential Real Estate Markets," Journal of Real Estate Research, American Real Estate Society, vol. 3(3), pages 39-49.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Earl Benson & Julia Hansen & Arthur Schwartz & Greg Smersh, 1999. "Canadian / U.S. Exchange Rates and Nonresident Investors: Their Influence on Residential Property Values," Journal of Real Estate Research, American Real Estate Society, vol. 18(3), pages 433-462.
    2. Earl D. Benson & Julia L. Hansen & Arthur L. Schwartz, Jr. & Gregory T. Smersh, 1997. "The Influence of Canadian Investment on U.S. Residential Property Values," Journal of Real Estate Research, American Real Estate Society, vol. 13(3), pages 231-250.
    3. Foellmi, Reto & Wuergler, Tobias & Zweimüller, Josef, 2014. "The macroeconomics of Model T," Journal of Economic Theory, Elsevier, vol. 153(C), pages 617-647.
    4. Patric H. Hendershott & Jesse M. Abraham, 1992. "Patterns and Determinants of Metropolitan House Prices, 1977-91," NBER Working Papers 4196, National Bureau of Economic Research, Inc.
    5. Anthony B. Atkinson & Thomas Piketty & Emmanuel Saez, 2011. "Top Incomes in the Long Run of History," Journal of Economic Literature, American Economic Association, vol. 49(1), pages 3-71, March.
    6. Kenjiro Hirata & Ayako Suzuki & Katsuya Takii, 2016. "Does Managerial Experience in a Target Firm Matter for the Retention of Managers after M&As?," Working Papers e108, Tokyo Center for Economic Research.
    7. Abdul Aziz, Ahmad Faizal, 2011. "Causality of Residential Properties Price Movements in Malaysia," MPRA Paper 47682, University Library of Munich, Germany.
    8. Nao Sudo & Michio Suzuki & Tomoaki Yamada, 2012. "Inequalities in Japanese Economy during the Lost Decades," CIRJE F-Series CIRJE-F-856, CIRJE, Faculty of Economics, University of Tokyo.
    9. Pat Wilson & John Okunev & Guy Ta, 1994. "Are Real Estate and Securities Markets Integrated? Some Australian Evidence," Working Paper Series 42, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    10. Richard K. Green & Patric Hendershott, 1992. "Demographic Factors and Real House Prices," Wisconsin-Madison CULER working papers 92-08, University of Wisconsin Center for Urban Land Economic Research.
    11. Cabral, René & García-Díaz, Rocío & Mollick, André Varella, 2016. "Does globalization affect top income inequality?," Journal of Policy Modeling, Elsevier, vol. 38(5), pages 916-940.
    12. Mandai, Yu & Nakabayashi, Masaki, 2018. "Stabilize the peasant economy: Governance of foreclosure by the shogunate," Journal of Policy Modeling, Elsevier, vol. 40(2), pages 305-327.
    13. Emmanuel Saez, 2017. "Taxing the Rich More: Preliminary Evidence from the 2013 Tax Increase," Tax Policy and the Economy, University of Chicago Press, vol. 31(1), pages 71-120.
    14. Thomas Lagoarde-Segot & Jean Pascal Bassino, 2012. "Informational dynamics and cross market linkages in the Tokyo Stock Exchange, 1931-40," Working Papers 12017, Economic History Society.
    15. Swan, Craig, 1995. "Demography and the demand for housing A reinterpretation of the Mankiw-Weil demand variable," Regional Science and Urban Economics, Elsevier, vol. 25(1), pages 41-58, February.
    16. Yamamura, Eiji & Ishida, Ryo, 2017. "Analysis of the implementation of information disclosure ordinances in Japan: the effect on the income of mayors and chief executives in local governments," MPRA Paper 83337, University Library of Munich, Germany.
    17. Kelly, Robert & McQuinn, Kieran, 2013. "On the hook for impaired bank lending: Do sovereign-bank inter-linkages affect the fiscal multiplier?," Research Technical Papers 01/RT/13, Central Bank of Ireland.
    18. Donald R. Haurin & Patric H. Hendershott & Dongwook Kim, 1991. "Local House Price Indexes: 1982–1991," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 19(3), pages 451-472, September.
    19. Facundo Alvaredo, 2007. "The Rich in Argentina over the twentieth century: From the Conservative Republic to the Peronist experience and beyond 1932-2004," Working Papers halshs-00588318, HAL.
    20. Jung, Florian & Sunde, Uwe, 2014. "Income, inequality, and the stability of democracy — Another look at the Lipset hypothesis," European Journal of Political Economy, Elsevier, vol. 35(C), pages 52-74.

    More about this item

    Keywords

    Housing - Prices - Hawaii;

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:fip:fedfwp:2011-24. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Federal Reserve Bank of San Francisco Research Library (email available below). General contact details of provider: https://edirc.repec.org/data/frbsfus.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.