Damianov, Damian S and Escobari, Diego (2015): LongRun Equilibrium Shift and ShortRun Dynamics of U.S. Home Price Tiers during the Housing Bubble. Forthcoming in: Journal of Real Estate Finance and Economics

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Abstract
We use vector error correction models to examine the interdependence between the high and the low price tiers during the latest housing market boom and bust. For 118 of the 364 US statistical areas analyzed, the tiered price indexes are bound by a longrun relationship. In general, low tier homes appreciated more than high tier homes in the past two decades. In contrast to previous periods of high volatility, however, low tier homes appreciated more during the boom and lost more value during the bust of the market. We find a shift in the longrun equilibrium during the bubble the cointegration parameter that ties the tiers together is greater in absolute value during the bubble period compared to the periods of more moderate appreciation and depreciation rates. Moreover, the shift in the longrun equilibrium can be explained by differences in subprime originations across housing markets. We also find that short run price dynamics is driven by momentum in both segments of the market.
Item Type:  MPRA Paper 

Original Title:  LongRun Equilibrium Shift and ShortRun Dynamics of U.S. Home Price Tiers during the Housing Bubble 
Language:  English 
Keywords:  Residential real estate markets, Housing Price Tiers 
Subjects:  C  Mathematical and Quantitative Methods > C3  Multiple or Simultaneous Equation Models ; Multiple Variables C  Mathematical and Quantitative Methods > C3  Multiple or Simultaneous Equation Models ; Multiple Variables > C32  TimeSeries Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models R  Urban, Rural, Regional, Real Estate, and Transportation Economics > R3  Real Estate Markets, Spatial Production Analysis, and Firm Location R  Urban, Rural, Regional, Real Estate, and Transportation Economics > R3  Real Estate Markets, Spatial Production Analysis, and Firm Location > R30  General R  Urban, Rural, Regional, Real Estate, and Transportation Economics > R3  Real Estate Markets, Spatial Production Analysis, and Firm Location > R32  Other Spatial Production and Pricing Analysis 
Item ID:  65765 
Depositing User:  Diego Escobari 
Date Deposited:  25. Jul 2015 19:33 
Last Modified:  25. Jul 2015 19:34 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/65765 