Quantifying the housing recovery: which MSAs are experiencing bubbles?

Azhar Iqbal and Mark Vitner
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Mark Vitner: Wells Fargo Securities

Business Economics, 2017, vol. 52, issue 4, No 7, 250-259

Abstract: Abstract The housing market is one of the most cyclical parts of the U.S. economy and played a leading role in the Great Recession. While house prices have recovered, the extent of the recovery varies considerably across markets. We evaluate housing prices in 20 MSAs and find that 12 out of them show a consistent pattern of behavior relative to the nation, while eight cities’ house price indices (HPIs) are characterized as having inconsistent behavior. Our analysis found breaks in the time series behavior of all HPIs. Furthermore, some MSAs, such as New York and Miami, began to recover much sooner than others. Granger causality test results suggest that some MSAs lead the national average and most of the other MSAs. Thus, our study suggests that changes in housing prices in a number of MSAs would provide an early warning for price moves at the national and regional levels.

Keywords: Housing recovery; MSA; Structural break; Spillovers; R21; R31; C22 (search for similar items in EconPapers)
Date: 2017
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DOI: 10.1057/s11369-017-0052-2

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