Bubbles and house price dispersion in the United States during 1975–2017
We investigate the rapid growth in the dispersion of housing prices across metropolitan statistical areas (MSAs) in the United States during 1975–2017. We first examine several explanations for this pattern, and find that it is difficult to fully explain it. Our econometric analyses show that the lo...
| Main Authors: | , , |
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| Other Authors: | |
| Format: | Journal Article |
| Language: | English |
| Published: |
2022
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| Subjects: | |
| Online Access: | https://hdl.handle.net/10356/154883 |
| _version_ | 1826128385651245056 |
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| author | Tang, Yang Zeng, Ting Zhu, Shenghao |
| author2 | School of Social Sciences |
| author_facet | School of Social Sciences Tang, Yang Zeng, Ting Zhu, Shenghao |
| author_sort | Tang, Yang |
| collection | NTU |
| description | We investigate the rapid growth in the dispersion of housing prices across metropolitan statistical areas (MSAs) in the United States during 1975–2017. We first examine several explanations for this pattern, and find that it is difficult to fully explain it. Our econometric analyses show that the log of price-to-rent ratios follows a random walk process. We then set up a parsimonious asset-pricing island model. We find that the dispersion of fundamental housing prices grow too slow relative to that in data. Incorporating rational bubble solutions, our calibrated model can match the rapid growth in the dispersion of housing prices. |
| first_indexed | 2024-10-01T07:24:05Z |
| format | Journal Article |
| id | ntu-10356/154883 |
| institution | Nanyang Technological University |
| language | English |
| last_indexed | 2024-10-01T07:24:05Z |
| publishDate | 2022 |
| record_format | dspace |
| spelling | ntu-10356/1548832022-01-13T02:08:40Z Bubbles and house price dispersion in the United States during 1975–2017 Tang, Yang Zeng, Ting Zhu, Shenghao School of Social Sciences Social sciences::Economic theory The Cross-Sectional Dispersion of Housing Prices Excessive Dispersion We investigate the rapid growth in the dispersion of housing prices across metropolitan statistical areas (MSAs) in the United States during 1975–2017. We first examine several explanations for this pattern, and find that it is difficult to fully explain it. Our econometric analyses show that the log of price-to-rent ratios follows a random walk process. We then set up a parsimonious asset-pricing island model. We find that the dispersion of fundamental housing prices grow too slow relative to that in data. Incorporating rational bubble solutions, our calibrated model can match the rapid growth in the dispersion of housing prices. 2022-01-13T02:08:40Z 2022-01-13T02:08:40Z 2020 Journal Article Tang, Y., Zeng, T. & Zhu, S. (2020). Bubbles and house price dispersion in the United States during 1975–2017. Journal of Macroeconomics, 63, 103163-. https://dx.doi.org/10.1016/j.jmacro.2019.103163 0164-0704 https://hdl.handle.net/10356/154883 10.1016/j.jmacro.2019.103163 2-s2.0-85074653126 63 103163 en Journal of Macroeconomics © 2019 Elsevier Inc. All rights reserved. |
| spellingShingle | Social sciences::Economic theory The Cross-Sectional Dispersion of Housing Prices Excessive Dispersion Tang, Yang Zeng, Ting Zhu, Shenghao Bubbles and house price dispersion in the United States during 1975–2017 |
| title | Bubbles and house price dispersion in the United States during 1975–2017 |
| title_full | Bubbles and house price dispersion in the United States during 1975–2017 |
| title_fullStr | Bubbles and house price dispersion in the United States during 1975–2017 |
| title_full_unstemmed | Bubbles and house price dispersion in the United States during 1975–2017 |
| title_short | Bubbles and house price dispersion in the United States during 1975–2017 |
| title_sort | bubbles and house price dispersion in the united states during 1975 2017 |
| topic | Social sciences::Economic theory The Cross-Sectional Dispersion of Housing Prices Excessive Dispersion |
| url | https://hdl.handle.net/10356/154883 |
| work_keys_str_mv | AT tangyang bubblesandhousepricedispersionintheunitedstatesduring19752017 AT zengting bubblesandhousepricedispersionintheunitedstatesduring19752017 AT zhushenghao bubblesandhousepricedispersionintheunitedstatesduring19752017 |