Do changes in the fundamentals have symmetric or asymmetric effects on house prices? Evidence from 52 states of the United States of America
Mohsen Bahmani-Oskooee () and
Seyed Hesam Ghodsi
Applied Economics, 2016, vol. 48, issue 31, 2912-2936
Time-series studies that have tried to establish the long-run relationship between house prices and economic fundamentals have been criticized due to low power of their cointegration tests. On the other hand, those who have used panel data and panel tests to increase the power have found mixed results. Both groups have assumed that changes in the fundamentals have symmetric effects on house prices. In this article, we use nonlinear ARDL approach to cointegration and error-correction modelling and quarterly data from each of the states in the US to show that changes in the fundamentals have asymmetric effects on house prices, in the short run as well as in the long run. Cointegration between house prices and fundamentals is established in 30 states and in District of Columbia.
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