Munich Personal RePEc Archive

Housing Prices and Fundamentals: The Role of a Supply Shifter

Durmaz, Nazif (2011): Housing Prices and Fundamentals: The Role of a Supply Shifter.

WarningThere is a more recent version of this item available.
[img]
Preview
PDF
MPRA_paper_28556.pdf

Download (275Kb) | Preview

Abstract

This paper empirically investigates cointegrating relation between housing prices and economic fundamental variables in the US housing market. Employing simple yet rigorous econometric techniques, the present paper finds strong evidence in favor of cointegrating relations in most US states when both the demand and supply side fundamental variables are included in the cointegrating regression. This casts doubt on the previous empirical work that reported weak or no cointegrating relation of housing prices with mostly demand-side fundamental variables, which may have a misspecification problem. Further, cointegrating vector estimates seem consistent with economic theories only when both side fundamental variables are used.

Available Versions of this Item

UB_LMU-Logo
MPRA is a RePEc service hosted by
the Munich University Library in Germany.