Housing Markets, Regulations and Monetary Policy
Xiaojin Sun and
Kwok Ping Tsang ()
Working Papers from Virginia Polytechnic Institute and State University, Department of Economics
We apply the linearized present value model, which allows the log rent-price ratio to be decomposed into the expected present value of all future real interests rates, real housing premia, and real rent growth, to the housing market in 23 U.S. metropolitan areas from 1978 to 2011. Based on the indirect inference bias-corrected VAR estimates, we show that variation in the pricing error accounts for half of volatility of log rent-price ratio, and the remaining volatility is mainly contributed by the expected future real interest rates. In addition, a change in the real interest rate has an immediate impact on the fundamental house price, and the impact is significantly larger for more regulated housing markets.
Keywords: The Present Value Model; Rent-Price Ratio; House Price; Housing Supply Regulations (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-gth
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2) Track citations by RSS feed
Downloads: (external link)
ftp://repec.econ.vt.edu/Papers/Tsang/house_price_volatility.pdf First version, 2014 (application/pdf)
Our link check indicates that this URL is bad, the error code is: 500 Failed to connect to FTP server repec.econ.vt.edu: A connection attempt failed because the connected party did not properly respond after a period of time, or established connection failed because connected host has failed to respond.
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:vpi:wpaper:e07-45
Access Statistics for this paper
More papers in Working Papers from Virginia Polytechnic Institute and State University, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Djavad Salehi-Isfahani ().