Economics at your fingertips  

Linking U.S. State-level housing market returns, and the consumption-(Dis)Aggregate wealth ratio

Mehmet Balcilar, Rangan Gupta, Ricardo Sousa and Mark Wohar ()

International Review of Economics & Finance, 2021, vol. 71, issue C, 779-810

Abstract: Using state-level data for the U.S. housing market over the period of 1975:Q1-2012:Q2, we show that the consumption-wealth ratios derived from aggregate wealth (cay) and disaggregate (i.e. financial and housing) wealth (cday) are strong predictors of real housing returns (and their volatility). Additionally, we find that, barring the extreme ends of their respective conditional distributions, such effect is stronger for housing return volatility than housing returns. All in all, our findings show that state-level regressions can recover a large degree of heterogeneity that country-level exercises typically ignore. Such heterogeneity is prominent not only in terms of consumption smoothing behavior, but also with regard to housing return predictability.

Keywords: Consumption-wealth ratio; Housing returns; Volatility; Forecasting; Nonparametric causality-in-quantiles test (search for similar items in EconPapers)
JEL-codes: C22 R31 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Linking U.S. State-Level Housing Market Returns and the Consumption-(Dis)Aggregate Wealth Ratio (2020)
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:

DOI: 10.1016/j.iref.2020.10.011

Access Statistics for this article

International Review of Economics & Finance is currently edited by H. Beladi and C. Chen

More articles in International Review of Economics & Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().

Page updated 2024-02-15
Handle: RePEc:eee:reveco:v:71:y:2021:i:c:p:779-810