Clustered Housing Cycles

42 Pages Posted: 30 Dec 2015

See all articles by Ruben Hernandez-Murillo

Ruben Hernandez-Murillo

Federal Reserve Banks - Federal Reserve Bank of Cleveland

Michael Owyang

Federal Reserve Bank of St. Louis - Research Division

Margarita Rubio

University of Nottingham

Multiple version iconThere are 2 versions of this paper

Date Written: 2015-10-22

Abstract

Using a panel of U.S. city-level building permits data, we estimate a Markov-switching model of housing cycles that allows for idiosyncratic departures from a national housing cycle. These departures occur for clusters of cities that experience simultaneous housing contractions. We find that cities do not form housing regions in the traditional geographic sense. Instead, similarities in factors affecting the demand for housing (such as average winter temperature and the unemployment rate) appear to be more important determinants of cyclical comovements than similarities in factors affecting the supply for housing (such as housing density and the availability of developable land).

Keywords: clustered Markov switching, business cycles, building permits, comovements

JEL Classification: C11, C32, E32, R31

Suggested Citation

Hernandez-Murillo, Ruben and Owyang, Michael T. and Rubio, Margarita, Clustered Housing Cycles (2015-10-22). FRB of Cleveland Working Paper No. 1524. Available at SSRN: https://ssrn.com/abstract=2677696

Ruben Hernandez-Murillo (Contact Author)

Federal Reserve Banks - Federal Reserve Bank of Cleveland ( email )

East 6th & Superior
Cleveland, OH 44101-1387
United States

Michael T. Owyang

Federal Reserve Bank of St. Louis - Research Division ( email )

411 Locust St
Saint Louis, MO 63011
United States

Margarita Rubio

University of Nottingham ( email )

Register to save articles to
your library

Register

Paper statistics

Downloads
19
Abstract Views
395
PlumX Metrics