Please use this identifier to cite or link to this item: https://hdl.handle.net/10356/154883
Title: Bubbles and house price dispersion in the United States during 1975–2017
Authors: Tang, Yang
Zeng, Ting
Zhu, Shenghao
Keywords: Social sciences::Economic theory
Issue Date: 2020
Source: 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
Journal: Journal of Macroeconomics
Abstract: 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.
URI: https://hdl.handle.net/10356/154883
ISSN: 0164-0704
DOI: 10.1016/j.jmacro.2019.103163
Rights: © 2019 Elsevier Inc. All rights reserved.
Fulltext Permission: none
Fulltext Availability: No Fulltext
Appears in Collections:SSS Journal Articles

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