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An Anatomy of Price Dynamics in Illiquid Markets: Analysis and Evidence from Local Housing Markets

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Cited by:

  1. Haejung Chun, 2017. "A study on the impact of changes in consumer sentiment on the housing market in Korea," International Journal of Urban Sciences, Taylor & Francis Journals, vol. 21(2), pages 129-146, May.
  2. David Genesove & James Hansen, 2014. "Predicting Dwelling Prices with Consideration of the Sales Mechanism," RBA Research Discussion Papers rdp2014-09, Reserve Bank of Australia.
  3. Elias Oikarinen & Janne Engblom, 2012. "Regional differences in housing price dynamics: panel data evidence," ERES eres2012_059, European Real Estate Society (ERES).
  4. Genesove, David & Han, Lu, 2012. "Search and matching in the housing market," Journal of Urban Economics, Elsevier, vol. 72(1), pages 31-45.
  5. Jason Allen & Robert Amano & David P. Byrne & Allan W. Gregory, 2009. "Canadian city housing prices and urban market segmentation," Canadian Journal of Economics, Canadian Economics Association, vol. 42(3), pages 1132-1149, August.
  6. Füss, Roland & Zietz, Joachim, 2016. "The economic drivers of differences in house price inflation rates across MSAs," Journal of Housing Economics, Elsevier, vol. 31(C), pages 35-53.
  7. Angela Black & Patricia Fraser & Martin Hoesli, 2006. "House Prices, Fundamentals and Bubbles," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 33(9‐10), pages 1535-1555, November.
  8. Michail Karoglou & Bruce Morley & Dennis Thomas, 2013. "Risk and Structural Instability in US House Prices," The Journal of Real Estate Finance and Economics, Springer, vol. 46(3), pages 424-436, April.
  9. Allen Head & Huw Lloyd-Ellis & Hongfei Sun, 2016. "Search, Liquidity, and the Dynamics of House Prices and Construction: Corrigendum," American Economic Review, American Economic Association, vol. 106(4), pages 1214-1219, April.
  10. Yuming Li & Jing Yang, 2018. "House Price Dynamics and Excess Risk," International Real Estate Review, Global Social Science Institute, vol. 21(2), pages 251-274.
  11. Gianluca Marcato & Charles Ward, 2006. "Back from Beyond the Bid-Ask Spread: Perspectives on Liquidity," Real Estate & Planning Working Papers rep-wp2006-15, Henley Business School, University of Reading.
  12. Tracey Seslen & William C. Wheaton & Henry O. Pollakowksi, 2005. "The Investment Performance of Housing and "Hedonic" Spatial Equilibrium," Working Paper 8583, USC Lusk Center for Real Estate.
  13. Yi Jin & Charles K.Y. Leung & Zhixiong Zeng, 2012. "Real Estate, the External Finance Premium and Business Investment: A Quantitative Dynamic General Equilibrium Analysis," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 40(1), pages 167-195, March.
  14. Trond-Arne Borgersen & Anne Wenche Emblem, 2022. "Mortgage Market Induced Booms and Busts in the Housing Market in a Modified DiPasquale-Wheaton Model," International Real Estate Review, Global Social Science Institute, vol. 25(3), pages 281-306.
  15. Jan Rouwendal, 2009. "Housing Wealth and Household Portfolios in an Ageing Society," De Economist, Springer, vol. 157(1), pages 1-48, March.
  16. Anthony Yanxiang Gu, 2013. "A Possible Method for Warning of House Price Bubble," International Journal of Business and Social Research, MIR Center for Socio-Economic Research, vol. 3(2), pages 104-113, February.
  17. Roberto Dieci & Frank Westerhoff, 2012. "A simple model of a speculative housing market," Journal of Evolutionary Economics, Springer, vol. 22(2), pages 303-329, April.
  18. Efthymios Pavlidis & Alisa Yusupova & Ivan Paya & David Peel & Enrique Martínez-García & Adrienne Mack & Valerie Grossman, 2016. "Episodes of Exuberance in Housing Markets: In Search of the Smoking Gun," The Journal of Real Estate Finance and Economics, Springer, vol. 53(4), pages 419-449, November.
  19. Haavio, Markus & Kauppi, Heikki, 2009. "House price fluctuations and residential sorting," Research Discussion Papers 14/2009, Bank of Finland.
  20. John Krainer & Mark M. Spiegel & Nobuyoshi Yamori, 2010. "Asset Price Persistence and Real Estate Market Illiquidity: Evidence from Japanese Land Values," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 38(2), pages 171-196, June.
  21. Damian S. Damianov & Diego Escobari, 2021. "Getting on and Moving Up the Property Ladder: Real Hedging in the U.S. Housing Market Before and After the Crisis," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 49(4), pages 1201-1237, December.
  22. John Krainer & Mark M. Spiegel & Nobuyoshi Yamori, 2005. "Asset price declines and real estate market illiquidity: evidence from Japanese land values," Working Paper Series 2004-16, Federal Reserve Bank of San Francisco.
  23. David M. Kemme & Saktinil Roy, 2012. "Did the Recent Housing Boom Signal the Global Financial Crisis?," Southern Economic Journal, John Wiley & Sons, vol. 78(3), pages 999-1018, January.
  24. Haiwei Chen, 2017. "Real Estate Transfer Taxes and Housing Price Volatility in the United States," International Real Estate Review, Global Social Science Institute, vol. 20(2), pages 207-219.
  25. Aizenman, Joshua & Jinjarak, Yothin, 2009. "Current account patterns and national real estate markets," Journal of Urban Economics, Elsevier, vol. 66(2), pages 75-89, September.
  26. Aaron Hedlund, 2014. "The Cyclical Dynamics of Illiquid Housing, Debt, and Foreclosures," Working Papers 1416, Department of Economics, University of Missouri.
  27. Elias Oikarinen & Janne Engblom, 2016. "Differences in housing price dynamics across cities: A comparison of different panel model specifications," Urban Studies, Urban Studies Journal Limited, vol. 53(11), pages 2312-2329, August.
  28. Haavio, Markus & Kauppi, Heikki, 2009. "House price fluctuations and residential sorting," Bank of Finland Research Discussion Papers 14/2009, Bank of Finland.
  29. Arthur Grimes & Andrew Aitken, 2010. "Housing Supply, Land Costs and Price Adjustment," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 38(2), pages 325-353, June.
  30. Jengei Hong & Doojin Ryu, 2023. "Expectations and the housing market: A model of house price dynamics," Bulletin of Economic Research, Wiley Blackwell, vol. 75(4), pages 1242-1266, October.
  31. Huang, Haifang & Tang, Yao, 2012. "Residential land use regulation and the US housing price cycle between 2000 and 2009," Journal of Urban Economics, Elsevier, vol. 71(1), pages 93-99.
  32. Alqaralleh, Huthaifa & Canepa, Alessandra & Salah Uddin, Gazi, 2023. "Dynamic relations between housing Markets, stock Markets, and uncertainty in global Cities: A Time-Frequency approach," The North American Journal of Economics and Finance, Elsevier, vol. 68(C).
  33. MeiChi Huang & LinYing Yeh, 2015. "Should the Fed take extra action for the recent housing bubble? Evidence from asymmetric transitory shocks," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 39(4), pages 762-781, October.
  34. Oikarinen, Elias & Bourassa, Steven C. & Hoesli, Martin & Engblom, Janne, 2018. "U.S. metropolitan house price dynamics," Journal of Urban Economics, Elsevier, vol. 105(C), pages 54-69.
  35. Xiaoping Zhou & Zhenyang Qin & Yingjie Zhang & Linyi Zhao & Yan Song, 2019. "Quantitative Estimation and Spatiotemporal Characteristic Analysis of Price Deviation in China's Housing Market," Sustainability, MDPI, vol. 11(24), pages 1-28, December.
  36. Anundsen, André Kallåk & Heebøll, Christian, 2016. "Supply restrictions, subprime lending and regional US house prices," Journal of Housing Economics, Elsevier, vol. 31(C), pages 54-72.
  37. Eli Beracha & Hilla Skiba, 2013. "Findings from a Cross-Sectional Housing Risk-Factor Model," The Journal of Real Estate Finance and Economics, Springer, vol. 47(2), pages 289-309, August.
  38. Orrego, Fabrizio, 2014. "Precios de viviendas en Lima," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 28, pages 47-59.
  39. Yang, Zan & Wang, Songtao & Campbell, Robert, 2010. "Monetary policy and regional price boom in Sweden," Journal of Policy Modeling, Elsevier, vol. 32(6), pages 865-879, November.
  40. Leung, Charles Ka Yui, 2014. "Error correction dynamics of house prices: An equilibrium benchmark," Journal of Housing Economics, Elsevier, vol. 25(C), pages 75-95.
  41. Ralf Korn & Bilgi Yilmaz, 2022. "House Prices as a Result of Trading Activities: A Patient Trader Model," Computational Economics, Springer;Society for Computational Economics, vol. 60(1), pages 281-303, June.
  42. Canepa, Alessandra & Zanetti Chini, Emilio & Alqaralleh, Huthaifa, 2019. "Modelling Housing Market Cycles in Global Cities," Department of Economics and Statistics Cognetti de Martiis. Working Papers 201901, University of Turin.
  43. Cumming, Douglas J. & Reardon, Robert S., 2021. "COVID-19 and entrepreneurial processes in U.S. equity crowdfunding," CFS Working Paper Series 665, Center for Financial Studies (CFS).
  44. Smith, Scott & Fuller, Debra & Bogin, Alex & Polkovnichenko, Nataliya & Weiher, Jesse, 2016. "Countercyclical capital regime revisited: Tests of robustness," Journal of Economics and Business, Elsevier, vol. 84(C), pages 50-78.
  45. Tsai, I-Chun & Peng, Chien-Wen, 2016. "Linear and nonlinear dynamic relationships between housing prices and trading volumes," The North American Journal of Economics and Finance, Elsevier, vol. 38(C), pages 172-184.
  46. Xian Zheng, 2015. "Expectation, volatility and liquidity in the housing market," Applied Economics, Taylor & Francis Journals, vol. 47(37), pages 4020-4035, August.
  47. Jan Rouwendal & Simonetta Longhi, 2007. "The Effect of Consumers' Expectations in a Booming Housing Market," Tinbergen Institute Discussion Papers 07-078/3, Tinbergen Institute.
  48. David M. Kemme & Saktinil Roy, 2012. "Did the Recent Housing Boom Signal the Global Financial Crisis?," Southern Economic Journal, Southern Economic Association, vol. 78(3), pages 999-1018, January.
  49. Luis A. Gil-Alana & Rangan Gupta & Fernando Perez de Gracia, 2016. "Persistence, mean reversion and non-linearities in the US housing prices over 1830--2013," Applied Economics, Taylor & Francis Journals, vol. 48(34), pages 3244-3252, July.
  50. Gabriele Galati & Federica Teppa & Rob Alessie, 2013. "Heterogeneity in house price dynamics," DNB Working Papers 371, Netherlands Central Bank, Research Department.
  51. Diego Vílchez, 2015. "Assessing the House Price Dynamics in Lima," IHEID Working Papers 09-2015, Economics Section, The Graduate Institute of International Studies.
  52. Norman Miller & Liang Peng, 2006. "Exploring Metropolitan Housing Price Volatility," The Journal of Real Estate Finance and Economics, Springer, vol. 33(1), pages 5-18, August.
  53. Murphy, Anthony & Strobl, Eric, 2009. "The Impact of Hurricanes on Housing Prices: Evidence from US Coastal Cities," MPRA Paper 19353, University Library of Munich, Germany.
  54. Daniel Broxterman & Tingyu Zhou, 2023. "Information Frictions in Real Estate Markets: Recent Evidence and Issues," The Journal of Real Estate Finance and Economics, Springer, vol. 66(2), pages 203-298, February.
  55. Alexander N. Bogin & Stephen D. Bruestle & William M. Doerner, 2017. "How Low Can House Prices Go? Estimating a Conservative Lower Bound," The Journal of Real Estate Finance and Economics, Springer, vol. 54(1), pages 97-116, January.
  56. Huang, MeiChi & Wu, Chu-Hua & Cheng, I-Shan, 2021. "A truly global crisis? Evidence from contagion dependence across international REIT markets," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
  57. MeiChi Huang, 2020. "A threshold unobserved components model of housing bubbles: timings and effectiveness of monetary policies," Empirical Economics, Springer, vol. 59(2), pages 887-908, August.
  58. Kajuth, Florian & Knetsch, Thomas A. & Pinkwart, Nicolas, 2013. "Assessing house prices in Germany: Evidence from an estimated stock-flow model using regional data," Discussion Papers 46/2013, Deutsche Bundesbank.
  59. David E. Frame, 2008. "Regional Migration and House Price Appreciation," International Real Estate Review, Global Social Science Institute, vol. 11(1), pages 96-112.
  60. Yuming Li & Laura Yue Liu, 2014. "Wealth, Labor Income and House Prices," International Real Estate Review, Asian Real Estate Society, vol. 17(3), pages 394-413.
  61. Patric Hendershott & Robert J. Hendershott & Bryan D. MacGregor, 2005. "Evidence on Rationality in Commercial Property Markets: An Interpretation and Critique," NBER Working Papers 11329, National Bureau of Economic Research, Inc.
  62. Prodosh Simlai, 2018. "Spatial Dependence, Idiosyncratic Risk, and the Valuation of Disaggregated Housing Data," The Journal of Real Estate Finance and Economics, Springer, vol. 57(2), pages 192-230, August.
  63. Deng, Yongheng & Girardin, Eric & Joyeux, Roselyne, 2018. "Fundamentals and the volatility of real estate prices in China: A sequential modelling strategy," China Economic Review, Elsevier, vol. 48(C), pages 205-222.
  64. Li, Yuming, 2015. "The asymmetric house price dynamics: Evidence from the California market," Regional Science and Urban Economics, Elsevier, vol. 52(C), pages 1-12.
  65. Gil-Alana, Luis A. & Gupta, Rangan & Shittu, Olanrewaju I. & Yaya, OlaOluwa S., 2018. "Market efficiency of Baltic stock markets: A fractional integration approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 511(C), pages 251-262.
  66. Hsiao-Jung Teng & Chin-Oh Chang & Ming-Chi Chen, 2017. "Housing bubble contagion from city centre to suburbs," Urban Studies, Urban Studies Journal Limited, vol. 54(6), pages 1463-1481, May.
  67. Alexandridis, G. & Sahoo, S. & Visvikis, I., 2017. "Economic information transmissions and liquidity between shipping markets: New evidence from freight derivatives," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 98(C), pages 82-104.
  68. Patric H. Hendershott & Thomas G. Thibodeau & Halbert C. Smith, 2009. "Evolution of the American Real Estate and Urban Economics Association1," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 37(4), pages 559-598, December.
  69. Alina Arefeva, 2016. "How Auctions Amplify House-Price Fluctuations," 2016 Meeting Papers 714, Society for Economic Dynamics.
  70. Hui An & Qianmiao Zou & Ying Zhang & Rakesh Gupta, 2019. "Property Prices: How Effective is a Property-Purchasing Limitation Policy for Managing Affordability?," International Real Estate Review, Global Social Science Institute, vol. 22(2), pages 197-229.
  71. Alqaralleh, Huthaifa & Canepa, Alessandra, 2020. "Housing market cycles in large urban areas," Economic Modelling, Elsevier, vol. 92(C), pages 257-267.
  72. Yongheng Deng & Eric Girardin & Roselyne Joyeux, 2015. "Fundamentals and the Volatility of Real Estate Prices in China: A Sequential Modelling Strategy," Working Papers 222015, Hong Kong Institute for Monetary Research.
  73. Wong, Siu Kei & Cheung, Ka Shing & Deng, Kuang Kuang & Chau, Kwong Wing, 2021. "Policy responses to an overheated housing market: Credit tightening versus transaction taxes," Journal of Asian Economics, Elsevier, vol. 75(C).
  74. Eddie Chi-man Hui & Xian Zheng, 2012. "The dynamic correlation and volatility of real estate price and rental: an application of MSV model," Applied Economics, Taylor & Francis Journals, vol. 44(23), pages 2985-2995, August.
  75. Alessandra Canepa & Emilio Zanetti Chini & Huthaifa Alqaralleh, 2020. "Global Cities and Local Housing Market Cycles," The Journal of Real Estate Finance and Economics, Springer, vol. 61(4), pages 671-697, November.
  76. Kuang Kuang Deng & Siu Kei Wong, 2023. "Revisiting the Autocorrelation of Real Estate Returns," The Journal of Real Estate Finance and Economics, Springer, vol. 67(2), pages 243-263, August.
  77. Elias Oikarinen & Martin Hoesli & Camilo Serrano, 2013. "Do Public Real Estate Returns Really Lead Private Returns?," ERES eres2013_145, European Real Estate Society (ERES).
  78. Andrew Demers & Andrea L. Eisfeldt, 2022. "Total returns to single‐family rentals," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 50(1), pages 7-32, March.
  79. Gianluca Marcato & Charles Ward, 2007. "Back from Beyond the Bid–Ask Spread: Estimating Liquidity in International Markets," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 35(4), pages 599-622, December.
  80. Dorinth W. van Dijk & Marc K. Francke, 2018. "Internet Search Behavior, Liquidity and Prices in the Housing Market," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 46(2), pages 368-403, June.
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  82. Belayet Hossain & Ehsan Latif, 2009. "Determinants of housing price volatility in Canada: a dynamic analysis," Applied Economics, Taylor & Francis Journals, vol. 41(27), pages 3521-3531.
  83. An-Pin Wei & Wei-Ling Huang & Chih-Yuan Yang & Ming-Chi Chen, 2013. "The role of market imperfections in the relationship between housing prices and household credit: Evidence from Taiwan," Asian-Pacific Economic Literature, The Crawford School, The Australian National University, vol. 27(2), pages 131-143, November.
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  85. Goswami, Gautam & Tan, Sinan & Waisman, Maya, 2014. "Understanding the cross-section of the U.S. housing bubble: The roles of lending, transaction costs, and rent growth," Journal of Financial Stability, Elsevier, vol. 15(C), pages 76-90.
  86. Damian S. Damianov & Xiangdong Wang & Cheng Yan, 2021. "Google Search Queries, Foreclosures, and House Prices," The Journal of Real Estate Finance and Economics, Springer, vol. 63(2), pages 177-209, August.
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  90. Yang, Zan & Wang, S.T., 2012. "Permanent and transitory shocks in owner-occupied housing: A common trend model of price dynamics," Journal of Housing Economics, Elsevier, vol. 21(4), pages 336-346.
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  92. Prüser, Jan & Schmidt, Torsten, 2021. "Regional composition of national house price cycles in the US," Regional Science and Urban Economics, Elsevier, vol. 87(C).
  93. Patricia Fraser & Martin Hoesli & Lynn McAlevey, 2008. "House Prices and Bubbles in New Zealand," The Journal of Real Estate Finance and Economics, Springer, vol. 37(1), pages 71-91, July.
  94. Diandian Ma & Benfu Lv & Xuerong Li & Xiuting Li & Shuqin Liu, 2023. "Heterogeneous Impacts of Policy Sentiment with Different Themes on Real Estate Market: Evidence from China," Sustainability, MDPI, vol. 15(2), pages 1-21, January.
  95. Oikarinen, Elias, 2009. "Household borrowing and metropolitan housing price dynamics - Empirical evidence from Helsinki," Journal of Housing Economics, Elsevier, vol. 18(2), pages 126-139, June.
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  103. Ma, Chao, 2020. "Momentum and Reversion to Fundamentals: Are They Captured by Subjective Expectations of House Prices?," Journal of Housing Economics, Elsevier, vol. 49(C).
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  115. Yuming Li & Jing Yang, 2020. "Momentum Strategies with Home Price Indices and Stocks," International Real Estate Review, Global Social Science Institute, vol. 23(2), pages 861-892.
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  118. Yuming Li & Laura Yue Liu, 2014. "Wealth, Labor Income and House Prices," International Real Estate Review, Global Social Science Institute, vol. 17(3), pages 395-413.
  119. Charles Ka Yui Leung, 2015. "Availability, Affordability and Volatility: The Case of the Hong Kong Housing Market," International Real Estate Review, Global Social Science Institute, vol. 18(3), pages 383-428.
  120. Follain, James R. & Giertz, Seth H., 2011. "Using Monte Carlo simulations to establish a new house price stress test," Journal of Housing Economics, Elsevier, vol. 20(2), pages 101-119, June.
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  125. Lok Man Michel Tong & Gianluca Marcato, 2018. "Modelling Competitive Mortgage Termination Option Strategies: Default vs Restructuring and Prepayment vs Defeasance," ERES eres2018_300, European Real Estate Society (ERES).
  126. David M. Kemme & Saktinil Roy, 2012. "Did the Recent Housing Boom Signal the Global Financial Crisis?," Southern Economic Journal, John Wiley & Sons, vol. 78(3), pages 999-1018, January.
  127. MeiChi Huang & Tzu-Chien Wang, 2015. "Housing-bubble vulnerability and diversification opportunities during housing boom–bust cycles: evidence from decomposition of asset price returns," The Annals of Regional Science, Springer;Western Regional Science Association, vol. 54(2), pages 605-637, March.
  128. Paul Oslington, 2012. "General Equilibrium: Theory and Evidence," The Economic Record, The Economic Society of Australia, vol. 88(282), pages 446-448, September.
  129. Yuming Li & Jing Yang, 2020. "Momentum Strategies with Home Price Indices and Stocks," International Real Estate Review, Global Social Science Institute, vol. 23(2), pages 235-266.
  130. Tommy Wu & Michael Cheng & Ken Wong, 2017. "Bayesian analysis of Hong Kong's housing price dynamics," Pacific Economic Review, Wiley Blackwell, vol. 22(3), pages 312-331, August.
  131. Jesús Otero & Theodore Panagiotidis & Georgios Papapanagiotou, 2021. "Testing for exuberance in house prices using data sampled at different frequencies," Working Paper series 21-13, Rimini Centre for Economic Analysis.
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