The Economic Impact of Anticipated House Price Changes – Evidence from Home Sales

Posted: 31 Aug 2010 Last revised: 15 Sep 2011

See all articles by Norman G. Miller

Norman G. Miller

University of San Diego - Real Estate Institute

Liang Peng

Smeal College of Business, The Pennsylvania State University

Michael Sklarz

Collateral Analytics

Date Written: August 30, 2010

Abstract

If realized house prices have the wealth effect and the collateral effect on the economy, anticipated house price changes should have similar economic effects. This paper empirically analyzes the effects of single family home sales, which are shown to be able to predict house prices in the literature, on economic production, using 372 Metropolitan Statistic Areas in the U.S. from the first quarter of 1981 to the second quarter of 2008 in a panel Vector Error Correction Model. Changes in home sales are found to Granger cause the growth rate of per capita Gross Metropolitan Product, and the dynamic effects are visualized with impulse response functions. Supporting evidence for the economic impact of home sales is also found in contemporaneous regressions.

Keywords: home sales, wealth effect, collateral effect, housing market, vector error correction model, multifactor error structure, panel data

Suggested Citation

Miller, Norman G. and Peng, Liang and Sklarz, Michael, The Economic Impact of Anticipated House Price Changes – Evidence from Home Sales (August 30, 2010). Real Estate Economics, Forthcoming. Available at SSRN: https://ssrn.com/abstract=1668876

Norman G. Miller (Contact Author)

University of San Diego - Real Estate Institute ( email )

San Diego, CA
United States

Liang Peng

Smeal College of Business, The Pennsylvania State University ( email )

University Park
State College, PA 16802
United States

Michael Sklarz

Collateral Analytics ( email )

United States

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