Linking U.S. State-Level Housing Market Returns and the Consumption-(Dis)Aggregate Wealth Ratio
Mehmet Balcilar (),
Rangan Gupta (),
Ricardo Sousa () and
Mark Wohar ()
No 202094, Working Papers from University of Pretoria, Department of Economics
Using state-level data for the U.S. housing market over the period of 1975:Q1-2012:Q2, we show that the consumption-wealth ratios derived from aggregate wealth (cay) and disaggregate (i.e. financial and housing) wealth (cday) are strong predictors of real housing returns (and their volatility). Additionally, we find that, barring the extreme ends of their respective conditional distributions, such effect is stronger for housing return volatility than housing returns. All in all, our findings show that state-level regressions can recover a large degree of heterogeneity that country-level exercises typically ignore. Such heterogeneity is prominent not only in terms of consumption smoothing behavior, but also with regard to housing return predictability.
Keywords: consumption-wealth ratio; housing returns; volatility; forecasting; nonparametric causality-in-quantiles test (search for similar items in EconPapers)
JEL-codes: C22 R31 (search for similar items in EconPapers)
References: Add references at CitEc
Citations: Track citations by RSS feed
There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.
Journal Article: Linking U.S. State-level housing market returns, and the consumption-(Dis)Aggregate wealth ratio (2021)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:pre:wpaper:202094
Access Statistics for this paper
More papers in Working Papers from University of Pretoria, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Rangan Gupta ().