Value the 'Memory'! : Identifying Macroeconomic Variations in Housing Price Determination

When both housing prices and macroeconomic variables possess significant 'long-memory', disregarding this under-identifies demand and supply functions of a housing market. The long-run relationship among variables and the speed of disequilibrium error adjustment are also misrepresented. We confirm these predictions for the US housing market using a fractionally cointegrated-VAR framework

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Year of publication:	2018
Authors:	Duan, Kun
Other Persons:	Mishra, Tapas (contributor) ; Parhi, Mamata (contributor) ; Wolfe, Simon (contributor)
Publisher:	[2018]: [S.l.] : SSRN
Subject:	Immobilienpreis \| Real estate price \| Hedonischer Preisindex \| Hedonic price index \| Theorie \| Theory

Extent:	1 Online-Ressource (12 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 22, 2018 erstellt
Other identifiers:	10.2139/ssrn.3236674 [DOI]
Classification:	C22 - Time-Series Models ; C3 - Econometric Methods: Multiple/Simultaneous Equation Models ; E3 - Prices, Business Fluctuations, and Cycles ; E6 - Macroeconomic Policy Formation, Macroeconomic Aspects of Public Finance, Macroeconomic Policy, and General Outlook
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012912550