Durmaz, Nazif (2011): Housing Prices and Fundamentals: The Role of a Supply Shifter.
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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.
|Item Type:||MPRA Paper|
|Original Title:||Housing Prices and Fundamentals: The Role of a Supply Shifter|
|Keywords:||Housing prices, cointegration|
|Subjects:||E - Macroeconomics and Monetary Economics > E3 - Prices, Business Fluctuations, and Cycles > E32 - Business Fluctuations ; Cycles
R - Urban, Rural, Regional, Real Estate, and Transportation Economics > R3 - Real Estate Markets, Spatial Production Analysis, and Firm Location > R31 - Housing Supply and Markets
|Depositing User:||Nazif Durmaz|
|Date Deposited:||03. Feb 2011 20:02|
|Last Modified:||12. Feb 2013 12:37|
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