Nothing Special   »   [go: up one dir, main page]
IDEAS home Printed from https://ideas.repec.org/p/arz/wpaper/eres2009_275.html
   My bibliography  Save this paper

Do House Prices Reflect Fundamentals? Aggregate and Panel Data Evidence

Author

Listed:
  • Petr Zemcik
  • Vyacheslav Mikhed
Abstract
"We investigate whether recently high and consequently rapidly decreasing U.S. house prices have been justiØed by fundamental factors such as personal income, population, house rent, stock market wealth, building costs, and mortgage rate. We Ørst conduct the standard unit root and cointegration tests with aggregate data. Nationwide analysis potentially suÆers from problems of the low power of stationarity tests and the ignorance of dependence among regional house markets. Therefore, we also employ panel data stationarity tests which are robust to cross-sectional dependence. Contrary to previous panel studies of the U.S. housing market, we consider several, not just one, fundamental factors. Our results conØrm that panel data unit root tests have greater power as compared with univariate tests. However, the overall conclusions are the same for both methodologies. The house price does not align with the fundamentals in sub-samples prior to 1996 and from 1997 to 2006. It appears that the real estate prices take long swings from their fundamental value and it can take decades before they revert to it. The most recent correction (a collapsed bubble) occurred around 2006.""

Suggested Citation

  • Petr Zemcik & Vyacheslav Mikhed, 2009. "Do House Prices Reflect Fundamentals? Aggregate and Panel Data Evidence," ERES eres2009_275, European Real Estate Society (ERES).
    • Handle: RePEc:arz:wpaper:eres2009_275
    as

    Download full text from publisher

    File URL: https://eres.architexturez.net/doc/oai-eres-id-eres2009-275
    Download Restriction: no
    ---><---

    More about this item

    JEL classification:

    • R3 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arz:wpaper:eres2009_275. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Architexturez Imprints (email available below). General contact details of provider: https://edirc.repec.org/data/eressea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.