Time-varying spillovers between housing sentiment and housing market in the United States☆

Christophe André, David Gabauer and Rangan Gupta

Finance Research Letters, 2021, vol. 42, issue C

Abstract: This paper investigates spillovers between the housing sentiment index of Bork et al.(2020), common factors in US real housing returns and their volatility, GDP growth and real interest rates. We find that in contrast to spillovers from the common factor of housing returns to housing sentiment and GDP, reverse spillovers are relatively weak. This suggests that, while a shock to housing prices is likely to have a significant impact on housing sentiment and the economy, a purely exogenous shock to housing sentiment may in itself have little impact on housing returns and volatility.

Keywords: Common housing market movements; Sentiment; Time-varying spillovers (search for similar items in EconPapers)
JEL-codes: C32 R31 (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:42:y:2021:i:c:s1544612321000064

DOI: 10.1016/j.frl.2021.101925

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