On the Cyclicity of Regional House Prices: New Evidence for U.S. Metropolitan Statistical Areas

37 Pages Posted: 19 Aug 2015

See all articles by Michael Flor

Michael Flor

University of Augsburg - Department of Economics

Torben Klarl

University of Augsburg - Faculty of Business and Economics; ZEW

Date Written: August 18, 2015

Abstract

This paper is mainly concerned with the analysis of regional house price cycles. Based on a newly available data set consisting of the 40 largest U.S. Metropolitan Statistical Areas (MSAs), we introduce a wavelet transform based metric to study the housing cycle synchronization across MSAs. We derive several conclusions: (i) We show that regional housing cycle dissimilarities are significantly and strongly connected to geography. (ii) We show that U.S. regional housing cycles are considerably shorter compared to business cycles. (iii) By employing statistical methods, we also show that regional housing prices significantly converge after the bursting of the bubble only at higher business cycle frequencies, whereas for lower business cycle frequencies this is not the case. This is a notable result, because it directly implies that housing cycles behavior is different even at the business cycle.

Keywords: continuous wavelet transform, housing cycles, regional house price synchronization, wavelet distance matrix

JEL Classification: C320, C330, E320, R110, R310

Suggested Citation

Flor, Michael and Klarl, Torben, On the Cyclicity of Regional House Prices: New Evidence for U.S. Metropolitan Statistical Areas (August 18, 2015). CESifo Working Paper Series No. 5471, Available at SSRN: https://ssrn.com/abstract=2646471

Michael Flor

University of Augsburg - Department of Economics ( email )

Augsburg, 86135
Germany

Torben Klarl (Contact Author)

University of Augsburg - Faculty of Business and Economics ( email )

Augsburg, 86135
Germany

ZEW ( email )

P.O. Box 10 34 43
L 7,1
D-68034 Mannheim, 68034
Germany

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