Arbeitspapier

Regional US House Price Formation: One Model Fits All?

Does a "one model fits all" approach apply to the econometric modeling of regional house price determination? To answer this question, we utilize a panel of 100 US Metropolitan Statistical Areas over the period 1980q1-2010q2. For each area we estimate a separate cointegrated VAR model, focusing on differences in the effect of subprime lending and lagged house price appreciation. Our results demonstrate substantial differences in the importance of subprime lending for house price determination across regional housing markets. Specifically, we find a greater impact of subprime lending in areas with a high degree of physical and regulatory restrictions on land supply. Likewise, lagged house price appreciation - interpreted as capturing an adaptive expectation channel - is found to be more important in areas where the supply of dwellings is more constrained, in areas located in a state with non-recourse lending and in more populous areas. Our results also suggest that disequilibrium constellations are restored more slowly in areas located in a state with non-recourse lending.

ISBN
978-82-7553-810-7
Language
Englisch

Bibliographic citation
Series: Working Paper ; No. 08/2014

Classification
Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Model Construction and Estimation
Model Evaluation, Validation, and Selection
Financial Crises
Urban, Rural, Regional, Real Estate, and Transportation Economics: Housing Demand
Housing Supply and Markets
Subject
cointegration
panel heterogeneity
regional house price dynamics
subprime lending

Event
Geistige Schöpfung
(who)
Anundsen, André K.
Heebøll, Christian
Event
Veröffentlichung
(who)
Norges Bank
(where)
Oslo
(when)
2014

Handle
Last update
10.03.2025, 11:44 AM CET

Data provider

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Object type

  • Arbeitspapier

Associated

  • Anundsen, André K.
  • Heebøll, Christian
  • Norges Bank

Time of origin

  • 2014

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