Journal article
Time variation in the relative importance of permanent and transitory components in the US housing market
Finance research letters, Vol.12, pp.92-99
02/01/2015
DOI: 10.1016/j.frl.2014.11.004
Abstract
This paper uses an unobserved component model with heteroskedastic disturbances based on Harvey et al. (1992) to measure the time-varying importance of permanent and transitory components in the U.S. house prices. Our findings show that the cyclical component in the U.S. housing market is highly persistent and house prices were more than 20% above the trend at the peak of the housing boom in 2006. Our results also suggest that there was a big increase in the relative importance of the transitory shock variance at the peak of the housing crisis. (C). 2014 Elsevier Inc. All rights reserved.
Details
- Title: Subtitle
- Time variation in the relative importance of permanent and transitory components in the US housing market
- Creators
- N. Kundan Kishor - University of Wisconsin–MilwaukeeSwati Kumari - University of Wisconsin–MilwaukeeSuyong Song - University of Wisconsin–Milwaukee
- Resource Type
- Journal article
- Publication Details
- Finance research letters, Vol.12, pp.92-99
- Publisher
- Elsevier
- DOI
- 10.1016/j.frl.2014.11.004
- ISSN
- 1544-6123
- eISSN
- 1544-6131
- Number of pages
- 8
- Language
- English
- Date published
- 02/01/2015
- Academic Unit
- Economics; Finance
- Record Identifier
- 9984380405502771
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