EconPapers    
Economics at your fingertips  
 

House Price Growth Interdependencies and Comovement

Jeffrey Cohen (), Cletus Coughlin () and Daniel Soques ()

No 2019-28, Working Papers from Federal Reserve Bank of St. Louis

Abstract: This paper examines house price diffusion across metropolitan areas in the United States. We develop a generalization of the Hamilton and Owyang (2012) Markov-switching model, where we incorporate direct regional spillovers using a spatial weighting matrix. The Markov-switching framework allows consideration for house price movements that occur due to similar timing of downturns across MSAs. The inclusion of the spatial weighting matrix improves fit compared to a standard endogenous clustering model. We find seven clusters of MSAs that experience idiosyncratic recessions plus one distinct national house price cycle. Notably only the housing downturn associated with the Great Recession spread across all of the MSAs in our sample; other house price downturns remained contained to a single cluster. Previous research has found that housing cycles and business cycles are intertwined. To examine this potential relationship we apply our spatial Markov-switching model to employment growth data. We find that house price comovement and employment comovement are distinct across cities.

Keywords: housing cycles; Markov-switching; cluster analysis (search for similar items in EconPapers)
JEL-codes: C31 C38 R30 (search for similar items in EconPapers)
Date: 2019-09-25
New Economics Papers: this item is included in nep-ore and nep-ure
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
https://s3.amazonaws.com/real.stlouisfed.org/wp/2019/2019-028.pdf Full text (application/pdf)

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:fip:fedlwp:2019-028

Ordering information: This working paper can be ordered from

DOI: 10.20955/wp.2019.028

Access Statistics for this paper

More papers in Working Papers from Federal Reserve Bank of St. Louis Contact information at EDIRC.
Bibliographic data for series maintained by Anna Oates ().

 
Page updated 2020-03-28
Handle: RePEc:fip:fedlwp:2019-028