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U.S. House Prices over the Last 30 Years: Bubbles, Regime Shifts and Market (In)Efficiency
Lai,Rose Neng1; Van Order,Robert2
2017-06-01
Source PublicationReal Estate Economics
ISSN15406229 10808620
Volume45Issue:2Pages:259-300
Abstract

This paper studies U.S. house prices across 45 metropolitan areas from 1980 to 2012. It applies a version of the Gordon dividend discount model for long-run “fundamentals” and uses Mean Group and Pooled Mean Group estimation to estimate long-run and short-run determinants of house prices. We find great similarity across cities in that the long-run house prices are largely explained by the same fundamentals; the long-run rent to price ratio is approximately 5% plus 0.75 times the real interest rate (which is on the order of 2%). However, adjustments to deviations from the fundamentals are slow, in the long-run, closing the gap at a rate of around 10% per year. We find sharp differences in short-run adjustments (momentum) away from the fundamentals across cities, and the differences are correlated with local supply elasticities (more momentum with lower elasticity). Analysis of residuals suggests strong cyclical deviations, which are mean-reverting.

DOI10.1111/1540-6229.12127
URLView the original
Indexed BySSCI
Language英语
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被引频次[WOS]:6   [WOS记录]     [WOS相关记录]
Document TypeJournal article
专题DEPARTMENT OF FINANCE AND BUSINESS ECONOMICS
Corresponding AuthorLai,Rose Neng
Affiliation1.Faculty of Business Administration,University of Macau,,Taipa, Macau SAR,Macao
2.George Washington University,,Washington,United States
First Author AffilicationFaculty of Business Administration
Corresponding Author AffilicationFaculty of Business Administration
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GB/T 7714
Lai,Rose Neng,Van Order,Robert. U.S. House Prices over the Last 30 Years: Bubbles, Regime Shifts and Market (In)Efficiency[J]. Real Estate Economics,2017,45(2):259-300.
APA Lai,Rose Neng,&Van Order,Robert.(2017).U.S. House Prices over the Last 30 Years: Bubbles, Regime Shifts and Market (In)Efficiency.Real Estate Economics,45(2),259-300.
MLA Lai,Rose Neng,et al."U.S. House Prices over the Last 30 Years: Bubbles, Regime Shifts and Market (In)Efficiency".Real Estate Economics 45.2(2017):259-300.
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