New sources of housing market risk: Asset pricing for the US state‐level housing markets

MeiChi Huang

International Finance, 2020, vol. 23, issue 1, 135-174

Abstract: This study develops three novel housing risk factors to explore the sources of risk in US state‐level housing markets. The asset‐pricing models enrich our investigations into housing markets from three perspectives: housing boom–bust, volatile–calm, and factors’ time‐varying impact regimes. The findings indicate that state‐level housing returns all show significant exposure to systemic risk of housing markets, but the demographic and economic factors’ explanatory powers for housing returns differ across markets. Although the liquidity factor is significant under all three frameworks, the inventory and credit factors show significant impacts only in the impact‐switching specification. There are differences in the responses of housing returns to various risk factors and shifts in housing regimes across state housing markets, depending on whether the states exhibited housing bubbles. The results suggest that an effective housing stabilization mechanism must be capable of tracking shifts in the relations between housing markets and risk factors.

Date: 2020
References: Add references at CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
https://doi.org/10.1111/infi.12356

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:intfin:v:23:y:2020:i:1:p:135-174

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=1367-0271

Access Statistics for this article

International Finance is currently edited by Benn Steil

More articles in International Finance from Wiley Blackwell
Bibliographic data for series maintained by Wiley Content Delivery ().