Modeling House Price Synchronization across the U.S. States and their Time-Varying Macroeconomic Linkages

Marfatia Hardik A. ()
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Marfatia Hardik A.: Department of Economics, Northeastern Illinois University, 5500 N St Louis Ave, BBH 344G, Chicago, IL60625, USA

Journal of Time Series Econometrics, 2021, vol. 13, issue 1, 73-117

Abstract: This paper analyzes the time-varying impact of macroeconomic forces on the synchronization in housing movements across all the U.S. states. Using a Bayesian modeling approach, the house price movements are decomposed into national, regional and state-specific factors. We then analyze the time-varying impact of macroeconomic forces on these national and regional factors. Evidence suggests that in several Western and Eastern states the house price variations are dominated by the national factor, whereas the regional factor dominates the Southern and Midwestern markets. These factors are found to have a time-varying relationship with most macroeconomic indicators with particularly pronounced time-variation caused by national house prices, inflation rate and consumer sentiments.

Keywords: Bayesian dynamic factor model; housing market synchronizations; time-varying linkages (search for similar items in EconPapers)
JEL-codes: C32 E32 R30 (search for similar items in EconPapers)
Date: 2021
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DOI: 10.1515/jtse-2017-0014

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