Housing bubble implications: Evidence from interrelationships across US state-level housing prices and economic fundamentals

• Main Authors: Hsiu-Hsuan Chiang, 姜琇軒
• Other Authors: Mei-Chi Huang
• Format: Others
• Language: en_US
• Online Access: http://ndltd.ncl.edu.tw/handle/85741796177644275683

碩士 === 元智大學 === 商學碩士班(財務金融學程) === 101 === The paper analyzes implications for housing bubbles through investigations into the relationships across housing price growth rates and income growth rates. We observed the vulnerability to housing bubbles in the twenty the most populous states in the U.S., and observe states’ threshold regime-switching patterns of housing bubbles during 1975–2011. We develop the threshold autoregressive (TAR) model in order to decompose housing price growth rates into trend and cycle components, and examine relationships between dynamics of state-level cyclical housing prices and disposable incomes per capita. Based on the estimated autoregressive coefficients and income-housing price interactions, we suggest that Arizona, California, Florida, Massachusetts, Maryland, New York, and Texas are more vulnerable to housing bubbles. Noticeably, observing threshold regime-switching patterns, we find that the 20 states’ housing low-growth regimes begin in the year of 2006, which coincides with the recent housing bust in the US. Keywords: housing price growth rates, income growth rates, housing bubbles, threshold autoregressive (TAR) model