Open AccessInternational Real Estate Review
Author(s) -
Mohsen BahmaniOskooee,
Seyed Hesam Ghodsi
Publication year - 2017
Publication title -
journal of the asian real estate society
Language(s) - English
Resource type - Journals
ISSN - 1029-6131
DOI - 10.53383/100238
Subject(s) - economics , house price , autoregressive model , real estate , distributed lag , monetary economics , asymmetry , financial crisis , econometrics , lag , macroeconomics , finance , computer network , physics , quantum mechanics , computer science
When U.S. house prices were rising before the financial crisis of 2008, Case and Shiller (2003) argue that "income growth alone explains the pattern of recent home price increases in most states¨. Then can the decline in income after 2008 explain for the burst and abnormal decrease in house prices? Alternatively we ask whether the effects of income on house prices are symmetric or asymmetric. We employ quarterly data from each of the states in the U.S. and nonlinear autoregressive distributed lag modelling approach of Shin et al. (2014) to show that indeed, household income changes do have asymmetric effects on house prices in most of the states in the U.S. While adjustment asymmetry is borne out by the results in all states, asymmetric short-run impact is evidenced in 18 states and significant asymmetric long-run impact in 21 states.