US House Prices over the Last 30 Years: Bubbles, Regime Shifts and Market (In)Efficiency
Lai, Rose Neng1; Van Order, Robert2
2017-06
Source PublicationREAL ESTATE ECONOMICS
ABS Journal Level3
ISSN1080-8620
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 ; SSCI
Language英語English
WOS Research AreaBusiness & Economics ; Urban Studies
WOS SubjectBusiness, Finance ; Economics ; Urban Studies
WOS IDWOS:000399662500002
PublisherWILEY
The Source to ArticleWOS
Fulltext Access
Citation statistics
Cited Times [WOS]:17   [WOS Record]     [Related Records in WOS]
Document TypeJournal article
CollectionDEPARTMENT OF FINANCE AND BUSINESS ECONOMICS
Affiliation1.Faculty of Business Administration, University of Macau, Taipa, Macau SAR, China
2.George Washington University, Washington D.C.
First Author AffilicationFaculty of Business Administration
Recommended Citation
GB/T 7714
Lai, Rose Neng,Van Order, Robert. US 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).US 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."US 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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