Title

Modeling House Price Synchronization across the U.S. States and their Time-Varying Macroeconomic Linkages

Document Type

Article

Publication Date

1-1-2021

Abstract

This paper analyzes the time-varying impact of macroeconomic forces on the synchronization in housing movements across all the U.S. states. Using a Bayesian modeling approach, the house price movements are decomposed into national, regional and state-specific factors. We then analyze the time-varying impact of macroeconomic forces on these national and regional factors. Evidence suggests that in several Western and Eastern states the house price variations are dominated by the national factor, whereas the regional factor dominates the Southern and Midwestern markets. These factors are found to have a time-varying relationship with most macroeconomic indicators with particularly pronounced time-variation caused by national house prices, inflation rate and consumer sentiments.

DOI

10.1515/jtse-2017-0014

Publication Title

Journal of Time Series Econometrics

Volume Number

13

Issue Number

1

First Page

73

Last Page

117

ISSN

21946507

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