What Can Fifty-Two Collateralizable Wealth Measures Tell Us About Future Housing Market Returns? Evidence from U.S. State-Level Data
Ricardo Sousa and
Mark Wohar ()
The Journal of Real Estate Finance and Economics, 2021, vol. 62, issue 1, No 4, 107 pages
Abstract We use a novel U.S. state-level database to evaluate the role of housing wealth as a provider of collateral services. First, we estimate the cointegrating relationship between housing wealth and labour income for all 50 states, as well as the District of Columbia (D.C.), and overall U.S. Then, we assess the predictive ability of the housing wealth-to-income ratios (labelled by hwy) for state-level future real housing returns. We uncover: (i) positive estimates for the elasticity of housing wealth with respect to labour income, which are also largely heterogeneous across U.S. states; and (ii) a negative link between the housing wealth-to-income ratios and future housing returns, albeit the forecasting power of hwy also varies considerably across states. We conclude that country-level regressions typically "mask" this diversity of features surrounding the usefulness of housing in collateral provision and unfavourable labour income shock smoothing that state-level frameworks are able to recover.
Keywords: Housing wealth-to-income ratio; Housing returns; Forecasting regression (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
http://link.springer.com/10.1007/s11146-019-09733-9 Abstract (text/html)
Access to full text is restricted to subscribers.
Working Paper: What can Fifty-Two Collateralizable Wealth Measures tell us about Future Housing Market Returns? Evidence from U.S. State-Level Data (2019)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:kap:jrefec:v:62:y:2021:i:1:d:10.1007_s11146-019-09733-9
Ordering information: This journal article can be ordered from
http://www.springer. ... ce/journal/11146/PS2
Access Statistics for this article
The Journal of Real Estate Finance and Economics is currently edited by Steven R. Grenadier, James B. Kau and C.F. Sirmans
More articles in The Journal of Real Estate Finance and Economics from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().