Housing Prices and Fundamentals: The Role of a Supply Shifter

Nazif Durmaz

MPRA Paper from University Library of Munich, Germany

Abstract: This paper empirically investigates cointegrating relation between housing prices and economic fundamental variables in the US housing market. Employing simple yet rigorous econometric techniques, the present paper finds strong evidence in favor of cointegrating relations in most US states when both the demand and supply side fundamental variables are included in the cointegrating regression. This casts doubt on the previous empirical work that reported weak or no cointegrating relation of housing prices with mostly demand-side fundamental variables, which may have a misspecification problem. Further, cointegrating vector estimates seem consistent with economic theories only when both side fundamental variables are used.

Keywords: Housing prices; cointegration (search for similar items in EconPapers)
JEL-codes: E32 R31 (search for similar items in EconPapers)
Date: 2011-02-01
New Economics Papers: this item is included in nep-mac
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Citations: View citations in EconPapers (3)

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https://mpra.ub.uni-muenchen.de/28556/1/MPRA_paper_28556.pdf original version (application/pdf)
https://mpra.ub.uni-muenchen.de/28584/1/MPRA_paper_28584.pdf revised version (application/pdf)

Related works:
Journal Article: Housing Prices and Fundamentals: The Role of a Supply Shifter (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:28556

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