On the cyclicity of regional house prices: New evidence for U.S. metropolitan statistical areas
Michael Flor () and
Journal of Economic Dynamics and Control, 2017, vol. 77, issue C, 134-156
This paper is mainly concerned with the analysis of regional house price cycles. We introduce a wavelet transform based metric to study the housing cycle synchronization across the largest U.S. MSAs with a focus on the recent housing bubble. We derive several conclusions: (i) We show that regional housing cycle dissimilarities are significantly and strongly connected to geography. (ii) After the burst of the recent housing bubble there was greater significant co-movement in shorter cycles for a short period of time. (iii) Coastal regions, which have a higher house price volatility compared to other MSAs are also those with a higher degree of house supply regulation. (iv) A mortgage-rate reduction decrease the dissimilarity between the MSAs and the national housing cycle before the end of 2006 at higher frequencies. Hence, monetary policy is partially effective, whereas effectiveness depends on time, frequency, and the considered MSA.
Keywords: Continuous wavelet transform; Housing cycles; Regional house price synchronization; Wavelet distance matrix (search for similar items in EconPapers)
JEL-codes: C32 C33 E32 R11 R31 (search for similar items in EconPapers)
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Working Paper: On the Cyclicity of Regional House Prices: New Evidence for U.S. Metropolitan Statistical Areas (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:dyncon:v:77:y:2017:i:c:p:134-156
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