Time-Varying Spillovers between Housing Sentiment and Housing Market in the United States
Christophe Andre (),
David Gabauer () and
Rangan Gupta ()
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Christophe Andre: Economics Department, Organisation for Economic Co-operation and Development (OECD), Paris, France
David Gabauer: Data Analysis Systems, Software Competence Center Hagenberg, Hagenberg, Austria
No 202091, Working Papers from University of Pretoria, Department of Economics
This paper investigates spillovers between the housing sentiment index of Bork et al. (2020), common factors in US real housing returns and their volatility (derived from a time-varying dynamic factor model with stochastic volatility), GDP growth and real interest rates, using the time-varying parameter vector autoregressive version of the Diebold and Yilmaz (2012, 2014) methodology. We find that in contrast to spillovers from the common factor in housing returns, reverse spillovers are relatively weak. Net spillovers from the common factor of housing returns to housing sentiment and GDP increase durably after the Global Financial Crisis. This suggests that, while a shock to housing prices is likely to have a significant impact on housing sentiment and the economy, a purely exogenous shock to housing sentiment, may in itself have little impact on housing returns and volatility.
Keywords: Common Housing Market Movements; Sentiment; Time-Varying Spillovers (search for similar items in EconPapers)
JEL-codes: C32 R31 (search for similar items in EconPapers)
Pages: 14 pages
New Economics Papers: this item is included in nep-rmg and nep-ure
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Persistent link: https://EconPapers.repec.org/RePEc:pre:wpaper:202091
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