Value the 'Memory'!: Identifying Macroeconomic Variations in Housing Price Determination

12 Pages Posted: 31 Aug 2018

See all articles by Kun Duan

Kun Duan

University of Southampton - Southampton Business School

Tapas Mishra

Southampton Business School, University of Southampton

Mamata Parhi

Swansea University

Simon Wolfe

University of Southampton - School of Management; University of Southampton - Southampton Business School

Date Written: August 22, 2018

Abstract

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

Duan, Kun and Mishra, Tapas and Parhi, Mamata and Wolfe, Simon, Value the 'Memory'!: Identifying Macroeconomic Variations in Housing Price Determination (August 22, 2018). Available at SSRN: https://ssrn.com/abstract=3236674 or http://dx.doi.org/10.2139/ssrn.3236674

Kun Duan (Contact Author)

University of Southampton - Southampton Business School ( email )

Southampton, SO17 1BJ
United Kingdom

Tapas Mishra

Southampton Business School, University of Southampton ( email )

University Rd.
Southampton SO17 1BJ, Hampshire SO17 1LP
United Kingdom

Mamata Parhi

Swansea University ( email )

Simon Wolfe

University of Southampton - School of Management ( email )

Highfield
Southampton S017 1BJ, Hampshire SO17 1BJ
United Kingdom

University of Southampton - Southampton Business School ( email )

Southampton, SO17 1BJ
United Kingdom

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