Value the 'Memory'!: Identifying Macroeconomic Variations in Housing Price Determination
12 Pages Posted: 31 Aug 2018
Date Written: August 22, 2018
When both housing prices and macroeconomic variables possess significant 'long-memory', disregarding this under-identifies demand and supply functions of a housing market. The long-run relationship among variables and the speed of disequilibrium error adjustment are also misrepresented. We confirm these predictions for the US housing market using a fractionally cointegrated-VAR framework.
Keywords: Housing Prices, Macroeconomic Conditions, Identification of Housing Demand and Supply, Fractional Cointegrated VAR, USA
JEL Classification: C22, C3, E3, E6
Suggested Citation: Suggested Citation