Fear and Loathing in the Housing Market: Evidence from Search Query Data

48 Pages Posted: 19 Sep 2012 Last revised: 8 Nov 2016

See all articles by Marcelle Chauvet

Marcelle Chauvet

University of California Riverside; University of California Riverside

Stuart A. Gabriel

University of California, Los Angeles - Anderson School of Management

Chandler Lutz

Securities and Exchange Commission

Date Written: July 12, 2013

Abstract

Paper now titled "Mortgage Default Risk: Evidence from Internet Search Queries"

See https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2816207

We use Google search data to develop a broad-based and real-time index of housing distress. Unlike established indicators, this new Housing Distress Index (HDI) directly reflects sentiment revealed through search queries. Research findings indicate that the HDI provides important new insights in determination of national and city-specific housing returns, the VIX, foreclosures, and returns on subprime mortgage credit-default swaps. Further, the effects of housing distress on returns are asymmetric and stronger during times of crisis. Overall, results suggest that real estate and related markets are highly sensitive to vulnerabilities in household finances as captured by our measure of housing distress.

Keywords: Housing Distress, Housing Fear, Housing Crises

JEL Classification: G02, R30, G12

Suggested Citation

Chauvet, Marcelle and Gabriel, Stuart A. and Lutz, Chandler, Fear and Loathing in the Housing Market: Evidence from Search Query Data (July 12, 2013). Available at SSRN: https://ssrn.com/abstract=2148769 or http://dx.doi.org/10.2139/ssrn.2148769

Marcelle Chauvet

University of California Riverside ( email )

Department of Economics
4136 Sproul Hall
Riverside, CA 92527
United States
(951) 827-1587 (Phone)

HOME PAGE: http://sites.google.com/site/marcellechauvet/

University of California Riverside ( email )

Department of Economics
Riverside, CA 92527
United States

HOME PAGE: http://sites.google.com/site/marcellechauvet/

Stuart A. Gabriel (Contact Author)

University of California, Los Angeles - Anderson School of Management ( email )

110 Westwood Plaza
Los Angeles, CA 90095-1481
United States
310-825-2922 (Phone)
310-206-5455 (Fax)

HOME PAGE: http://www.anderson.ucla.edu

Chandler Lutz

Securities and Exchange Commission ( email )

100 F Street, NE
Washington, DC 20549
United States

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