Working Paper: NBER ID: w20418
Authors: Sheridan Titman; Ko Wang; Jing Yang
Abstract: We analyze the prices of owner-occupied housing in 97 metropolitan areas between 1980 and 2011. Our tests indicate that price changes exhibit positive serial correlation at the one year intervals, with subsequent reversals of price changes over longer intervals. Consistent with our simple model, regional differences in observed price patterns reflect differences in the serial correlation of the demand shocks as well as the elasticity of supply responses.
Keywords: Housing Prices; Real Estate; Investment; Metropolitan Areas
JEL Codes: R21; R31
Edges that are evidenced by causal inference methods are in orange, and the rest are in light blue.
| Cause | Effect |
|---|---|
| positive shock to demand (E32) | housing price changes (R31) |
| housing price changes (R31) | future housing price increases (R31) |
| demand growth (O49) | housing price changes (R31) |
| supply response to price changes (D41) | housing price changes (R31) |
| larger cities (R12) | stronger property appreciation rates (R31) |
| post-2007 period (P34) | stronger reversal in price changes (E32) |
| demand shocks (E39) | lagged supply response (J20) |