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HOUSE PRICES, SALES, AND TIME ON THE MARKET: A SEARCH‐THEORETIC FRAMEWORK
Author(s) -
DÍAZ ANTONIA,
JEREZ BELÉN
Publication year - 2013
Publication title -
international economic review
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 2.658
H-Index - 86
eISSN - 1468-2354
pISSN - 0020-6598
DOI - 10.1111/iere.12019
Subject(s) - economics , volatility (finance) , business cycle , matching (statistics) , aggregate (composite) , aggregate supply , econometrics , demand shock , aggregate demand , monetary economics , microeconomics , macroeconomics , monetary policy , statistics , materials science , mathematics , composite material
We assess the ability of a standard search and matching framework to account for the cyclical properties of key macroeconomic time series of the housing market. We calibrate a model with aggregate demand and supply shocks to match selected business cycle properties of vacancies and sales in the United States. Our model reproduces the cyclical time series properties of house prices and the positive and negative comovement of prices with sales and time on the market, respectively. Search and matching frictions produce trading delays that augment the volatility of prices and propagate the effect of aggregate shocks to future periods.