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Abstract:
We examine the link between increases in housing wealth, financial wealth, and consumer spending. We rely upon a panel of 14 countries observed annually for various periods during the past 25 years and a panel of U.S. states observed quarterly during the 1980s and 1990s. We impute the aggregate value of owner-occupied housing, the value of financial assets, and measures of aggregate consumption for each of the geographic units over time. We estimate regressions relating consumption to income and wealth measures, finding a statistically significant and rather large effect of housing wealth upon household consumption.

Consumption, Nonfinancial Wealth, Housing Market, Real Estate

Abstract:
We examine the link between increases in housing wealth, financial wealth, and consumer spending. We rely upon a panel of 14 countries observed annually for various periods during the past 25 years and a panel of U.S. states observed quarterly during the 1980s and 1990s. We impute the aggregate value of owner-occupied housing, the value of financial assets, and measures of aggregate consumption for each of the geographic units over time. We estimate regressions relating consumption to income and wealth measures, finding a statistically significant and rather large effect of housing wealth upon household consumption.

Abstract:
This paper examines the impact of a specific local tax limit, Proposition 2* in Massachusetts, on the fiscal behavior of cities and towns in Massachusetts and the capitalization of that behavior into property values. Proposition 2* places a cap on the effective property tax rate at 2.5 percent and limits nominal annual growth in property tax revenues to 2.5 percent, unless residents pass a referendum (an override) allowing a greater increase. The study analyzes the 1990-94 period, a time when Massachusetts municipalities faced significant fiscal stress because of a 30 percent cut in real state aid and a demographically driven increase in school enrollments. The findings include the following: (1) Proposition 2* significantly constrained local spending in some communities; (2) constrained communities realized gains in property values to the degree that they were able to increase school spending despite the limitation; and (3) changes in school spending were a much stronger influence on house price changes than were changes in nonschool spending. These findings are confirmed using several different econometric approaches, including a two stage technique that directly estimates how close each community?s spending was to what it would have been in the absence of Proposition 2.

Abstract:
No abstract is available for this paper.

Abstract:
Evidence is shown, using US foreclosure data by state 1975-93, that periods of high default rates on home mortgages strongly tend to follow real estate price declines or interruptions in real estate price increase. The relation between price decline and foreclosure rates is modelled using a distributed lag. Using this model, holders of residential mortgage portfolios could hedge some of the risk of default by taking positions in futures or options markets for residential real estate prices, were such markets to be established.

Abstract:
No abstract is available for this paper.

Abstract:
This paper investigates the risk-return relationship in determination of housing asset pricing. In so doing, the paper evaluates behavioral hypotheses advanced by Case and Shiller (1988, 2002, 2009) in studies of boom and post-boom housing markets. The paper specifies and tests a housing asset pricing model (H-CAPM), whereby expected returns of metropolitan-specific housing markets are equated to the market return, as represented by aggregate US house price time-series. We augment the model by examining the impact of additional risk factors including aggregate stock market returns, idiosyncratic risk, momentum, and Metropolitan Statistical Area (MSA) size effects. Further, we test the robustness of H-CAPM results to inclusion of controls for socioeconomic variables commonly represented in the house price literature, including changes in employment, affordability, and foreclosure incidence. Consistent with the traditional CAPM, we find a sizable and statistically significant influence of the market factor on MSA house price returns. Moreover we show thatmarket betas have varied substantially over time. Also, we find the basic housing CAPM results are robust to the inclusion of other explanatory variables, including standard measures of risk and other housing market fundamentals. Additional tests of the validity of the model using the Fama-MacBeth framework offer further strong support of a positive risk and return relationship in housing. Our findings are supportive of the application of a housing investment risk-return framework in explanation of variation in metro-area cross-section and time-series US house price returns. Further, results strongly corroborate Case-Shiller behavioral research indicating the importance of speculative forces in the determination of U.S. housing returns.

asset pricing, house price returns, risk factors

Abstract:
No abstract is available for this paper.

Abstract:
This paper analyzes the pattern of cross-sectional house price appreciation in the Boston metropolitan area from 1982 to 1994. The empirical results are consistent with many of the predictions of a standard urban model in which towns have a fixed set of locational attributes and amenities. In particular, the evidence suggests that house prices in towns with a large share of residents working in the manufacturing sector in 1980 grew less quickly in the ensuing years when aggregate manufacturing employment fell. As baby boomers moved into middle age, house values appreciated faster in towns with a larger initial percentage of middle-aged residents. Housing values rose more slowly in towns that allowed additional construction, and values rose faster in towns closer to Boston. Finally, as fewer families had children who attended public schools statewide, the price premium associated with housing in towns with good schools fell. All of these findings support the view that town amenities and public services are not easily replicated or quickly adaptable to shifts in demand, even within a metropolitan area.

Abstract:
Like most states, Massachusetts underwent a large shift in public school enrollments between the 1980s and 1990s, requiring a number of sizable fiscal and educational adjustments by individual school districts. Between 1980 and 1989, the number of students in kindergarten through grade 12 fell 21 percent, from 1.04 million to 825,000. As children of baby boomers reached school age, the picture changed and enrollments grew more than 90,000 over the next seven years. These aggregate trends gloss over even more marked shifts at the local level.

This article investigates the degree to which the constraints of Proposition 2 1/2, and other factors such as demographic and economic shifts and differences in school quality, affected the adjustments that both local governments and households made to a demographically driven turnaround in enrollment growth. The authors report three major findings: (1) Net public school enrollment changes are positively related to differences across communities in school quality. (2) Shifts in enrollments were much more pronounced in the 1990s, when aggregate enrollments were rising and the economy was improving. (3) Proposition 2 1/2 appears to have significantly altered the pattern of enrollment changes, with families with students moving to districts less constrained by this property tax limit.

Abstract:
This article makes the case for using index-based futures and options driven by region-specific movements in house prices as the basis for hedging mortgage default risk. Taking the view that mortgage holders write put options on real estate assets, the first part of the article lays out the theoretical case for a hedging strategy based on house price changes. The second part reviews the empirical literature on default risk and uses data from the Mortgage Bankers Association of America and repeat sales indices to test for the significance of house price movements in predicting mortgage default.The results suggest that between 1975 and 1993, periods of high default rates strongly follow real estate price declines or interruptions in real estate price increases. The relation between price declines and foreclosure rates is modeled using a distributed lag. The results support the case for a hedging strategy based on house price changes.