This paper develops a method for quantitatively and qualitatively assessing the adequacy of the normality assumption in regime switching models. A formal test that extends Jarque and Bera’s (1982) normality test to regime switching settings is proposed. Quasi maximum likelihood estimation of...

Santa-Clara and Valkanov (2003) document that excess returns on the stock market are puzzlingly higher under Democratic presidential administrations. We examine whether differences in economic fundamentals can account for this presidential puzzle. We find that the role for fundamentals crucially...

We explore the macro/finance interface in the context of equity markets. In particular, using half a century of Livingston expected business conditions data we characterize directly the impact of expected business conditions on expected excess stock returns. Expected business conditions...

We take a simple time-series approach to modeling and forecasting daily average temperature in U.S. cities, and we inquire systematically as to whether it may prove useful from the vantage point of participants in the weather derivatives market. The answer is, perhaps surprisingly, yes....

This paper provides a comprehensive account of the evolution of default risk for newly originated home purchase loans since 1990. We bring together several data sources to produce this history, including loan-level data for the entire GSE book. We use these data to track a large number of loan...

We use new property-level data to estimate the price of land from 2000 to 2013 for nearly the universe of detached single-family homes in the Washington, DC metro area and characterize the housing boom-bust cycle in land and house prices at a fine geography. The data show that land prices were...

Our analysis produces three main findings for our sample: land prices in most areas increased between 2012 and 2017, land prices tended to rise faster than house prices, and land appreciated most rapidly in areas with relatively high density of structures.

In this paper, the authors exploit the Federal Housing Administration's (FHA's) surprise 50 basis point cut to its annual mortgage insurance premium in January 2015 to study the impact of federal housing policy and interest rates on housing demand for a population of households likely to be...

In this paper, we use a new property-level dataset to estimate the price of land since 2000 for nearly 600,000 detached single-family homes in the Washington, DC metro area. We employ these estimates to characterize the recent boom/bust cycle in land prices and house prices in the Washington...

We estimate the parameters of a dynamic, forward-looking neighborhood choice model in 197 metro areas where households have preferences over the racial composition of neighborhoods. Our inclusion of multiple metro areas in the estimation sample enables us to develop a new, shift-share IV...