Bubbles and house price dispersion in the United States during 1975–2017 |
| |
| Institution: | 1. Nanyang Technological University, Singapore;2. Southwestern University of Finance and Economics, China;3. University of International Business and Economics, China;1. Federal Reserve Bank of Atlanta, United States;2. Georgia State University, Georgia, United States;3. Levy Economics Institute of Bard College, United States;1. Department of Business Administration, Frederick University, 7, Y. Frederickou Str., Nicosia 1036, Cyprus;2. Department of Economics, University of Piraeus, Greece;1. European Central Bank, DG Monetary Policy, Italy;2. Sapienza University of Rome, Italy |
| |
| Abstract: | We investigate the rapid growth in the dispersion of housing prices across metropolitan statistical areas (MSAs) in the United States during 1975–2017. We first examine several explanations for this pattern, and find that it is difficult to fully explain it. Our econometric analyses show that the log of price-to-rent ratios follows a random walk process. We then set up a parsimonious asset-pricing island model. We find that the dispersion of fundamental housing prices grow too slow relative to that in data. Incorporating rational bubble solutions, our calibrated model can match the rapid growth in the dispersion of housing prices. |
| |
| Keywords: | |
| 本文献已被 ScienceDirect 等数据库收录！ |
|
