Regime switches and permanent changes in impacts of housing risk factors on MSA‐level housing returns

MeiChi Huang

International Journal of Finance & Economics, 2021, vol. 26, issue 1, 310-342

Abstract: This study assesses impacts of housing risk factors on metropolitan housing excess returns in the augmented housing pricing model. Credit and liquidity factors represent demand and supply sides, respectively, of housing markets. All metropolitan statistical areas have significant regime switches, and booms and busts are turbulent and influenced by the two factors. The explanatory powers of the liquidity factor shrivel for the boom‐bust and regime‐switching volatility specifications, and excess housing returns are less sensitive to nationwide housing dynamics after 2008. This study lends support to time‐varying exposures of housing excess returns to risk factors in terms of temporary switches and permanent changes.

Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://doi.org/10.1002/ijfe.1791

Related works:
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: https://EconPapers.repec.org/RePEc:wly:ijfiec:v:26:y:2021:i:1:p:310-342

Ordering information: This journal article can be ordered from
http://jws-edcv.wile ... PRINT_ISSN=1076-9307

Access Statistics for this article

International Journal of Finance & Economics is currently edited by Mark P. Taylor, Keith Cuthbertson and Michael P. Dooley

More articles in International Journal of Finance & Economics from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley Content Delivery ().