학술논문
Exploring House Price Momentum in the U.S. after the Subprime Mortgage Crisis
이용수 0
- 영문명
- Exploring House Price Momentum in the U.S. after the Subprime Mortgage Crisis
- 발행기관
- 한국계량경제학회
- 저자명
- Pinshan Pan Heejoon Han
- 간행물 정보
- 『JOURNAL OF ECONOMIC THEORY AND ECONOMETRICS』Vol.35 No.1, 1~28쪽, 전체 28쪽
- 주제분류
- 경제경영 > 경제학
- 파일형태
- 발행일자
- 2024.03.30
6,160원
구매일시로부터 72시간 이내에 다운로드 가능합니다.
이 학술논문 정보는 (주)교보문고와 각 발행기관 사이에 저작물 이용 계약이 체결된 것으로, 교보문고를 통해 제공되고 있습니다.
국문 초록
영문 초록
This paper examines the relationship between house prices, rents, and user costs of housing in the United States from January 2009 to March 2022. We first use the time-varying coefficient cointegration model to explain the long-run relationship and adopt an error correction model with endogenous regime switching, which turns out to fit the data better than existing models. Our results show that, following the sub-prime mortgage crisis, the U.S. housing market has switched between a strong or a weak house price momentum state. In the strong momentum regime, house price returns have been more persistent and error correction has been slower. The degree of house price momentum is estimated to be very high and explosive in the strong regime while it is moderate in the weak regime. It is estimated that 74% of the data remains in the strong momentum regime. The extracted latent factor determines the regime of the housing market, and we run the adaptive lasso on the FRED-MD to identify the link between house price momentum and the macroeconomic and financial variables.
목차
1. INTRODUCTION
2. ECONOMETRIC METHODS
3. EMPIRICAL ANALYSES
4. CONCLUSION
REFERENCES
키워드
해당간행물 수록 논문
- JOURNAL OF ECONOMIC THEORY AND ECONOMETRICS Vol.35 No.1 목차
- 한국 재정정책과 가계부채, 주택가격의 관계 분석
- Forecasting Stock Market Volatility: A Sentiment Based Approach
- Exploring House Price Momentum in the U.S. after the Subprime Mortgage Crisis
- Following the Leader? Size-Dependent Herding in the US Equity Fund Market
참고문헌
관련논문
경제경영 > 경제학분야 NEW
- Optimizing Business Opportunities: The Evolving Landscape of Smart Cities in South Korea
- Does Paid Sick Leave Induce Welfare Burden?
- Economic Growth and Employment in the Korean Agri-Food Industry: Examining the Buffering Effect and Sensitivity of Temporary Employment
최근 이용한 논문
교보eBook 첫 방문을 환영 합니다!
신규가입 혜택 지급이 완료 되었습니다.
바로 사용 가능한 교보e캐시 1,000원 (유효기간 7일)
지금 바로 교보eBook의 다양한 콘텐츠를 이용해 보세요!