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The Journal of Real Estate Finance and Economics

Erschienen in:

01.10.2009

Trends, Cycles and Convergence in U.S. Regional House Prices

verfasst von: Steven P. Clark, T. Daniel Coggin

Erschienen in: The Journal of Real Estate Finance and Economics | Ausgabe 3/2009

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Abstract

In this study we present a statistical analysis of the time series properties of the geographic regions in the OFHEO U.S. house price database. The time period for our study is first quarter 1975 through second quarter 2005. We perform an unobserved components, structural time series analysis of nine regional indexes and two super-regional factors and fit a classic “smooth trend plus cycle” model. We then apply bivariate unit root tests for absolute and relative convergence of the regions and factors, allowing for the possibility of a structural break. We find the two super-regions have slightly different patterns of trends and cycles until the early to mid-1990s, when a common pattern of strong and sustained price appreciation is seen. The evidence for regional convergence is mixed, with little for the first super-regional factor and some examples of relative convergence within the second factor. Thus support for a simple error correction model for regional house prices in our study is mixed.

Vorheriger Artikel An Empirical Analysis of Residential Property Flipping

Nächster Artikel The Effect of House Prices on Household Consumption in Italy

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These data are not available from OFHEO in a “seasonally adjusted” format. In fact, there is some question as to whether or not seasonal adjustment of these data is even appropriate. Our pretesting showed that adding a seasonal component to the models does not materially affect our results or conclusions.

A non-linear unobserved components time series model which allows interactions between the trend-cycle component and the seasonal component was recently presented in Koopman and Lee (2008).

We will later note that that these regional indexes are nonstationary. Therefore, strictly speaking, there is no constant mean value. However, it is still useful and instructive to rank the regional index means for this specific time period.

As noted in Carvalho and Harvey (2005b), including a time trend in the ADF regression is inconsistent with convergence and virtually assures that the test will have very little power against the unit root null.

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Titel: Trends, Cycles and Convergence in U.S. Regional House Prices
verfasst von: Steven P. Clark
T. Daniel Coggin
Publikationsdatum: 01.10.2009
Verlag: Springer US
Erschienen in: The Journal of Real Estate Finance and Economics / Ausgabe 3/2009
Print ISSN: 0895-5638
Elektronische ISSN: 1573-045X
DOI: https://doi.org/10.1007/s11146-009-9183-1

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