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

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