The Measurement and Determinants of Single-Family House Prices (original) (raw)

Are US real house prices stationary? New evidence from univariate and panel data

Studies in Nonlinear Dynamics and Econometrics, 2016

Many papers in the housing literature treat the intertemporal evolution of the logarithm of US real house prices as a unit root process. They also study the cointegration relationship among the logarithm of real house prices and fundamental economic variables such as income and they apply an error correction specification for modeling and forecasting real house prices. This paper argues that the logarithm of US real house price is not a unit root process. Instead, the evidence from a 120-year national dataset and metro area level and state level panel data sets supports the notion that US house prices are trend stationary. One result of this conclusion is that the validity of analyses of US house prices based on cointegration and error correction models needs to be reconsidered.

The Impact of Inflation on Home Prices and the Valuation of Housing Characteristics Across the Price Distribution

Journal of Housing Research, 2008

Applying quantile regression to over 136,000 single-family home sales in the Jacksonville, Florida area for the period 1990 to 2006, this study shows that the valuation of housing characteristics differs significantly across the quantiles of the sales price distribution. Square footage and lot size, for example, are valued much higher for higher-priced homes than for lower-priced homes. The opposite is true for the implied price of space that is not heated or air-conditioned. Interestingly, there is very little difference across quantiles in the effect of general inflation on house prices over time.

U.S. House Prices Over the Last 30 Years: Bubbles, Regime Shifts and Market (In)Efficiency

SSRN Electronic Journal, 2014

This paper studies U.S. house prices across 45 metropolitan areas from 1980-2012. It applies the Gordon dividend discount model as a measure of long run "fundamentals", and uses mean group and pooled mean group estimation to get long run and short run estimates of determinants of house prices. We find great similarity across cities in that the long run house prices are largely explained by the same fundamentals, but adjust to the fundamentals slowly, at a rate of around 10% per year. We find sharp differences in short run adjustments (momentum) across cities, and the differences are correlated with local supply elasticities. Analysis of residuals suggests strong cyclical deviations. The bubble period (2000-2006) was longer than usual and was extended after 2002 when it looked to be dying out, in a way that is coincident with the rise in subprime securitization from 2003-2006.

Local House Price Indexes: 1982-1991

Real Estate Economics, 1991

We begin with a description of three house price panel data sets for the period 1982 to 1991. Next, we estimate a model that assumes the three sources are derived from an underlying unobserved price series, and we construct composite indexes that report house prices for 135 locations. These series can be used either as explanatory variables in studies of household formation, housing demand, and migration or to test models of the determinants of spatial and intertemporal variations in house prices. Finally, we construct regional series (based, alternatively, on census and Salomon Brothers regions) and two national aggregates and describe their movements. Our series are compared to other local, regional, and national series.

Demographic Factors and Real House Prices

1993

Real house prices are directly determined by the willingness of households to pay for (and willingness of builders to supply) a constant-quality house. Changes in the quantity of housing demanded will affect real prices only to the extent that the long-run housing supply schedule is positively sloped. In this paper we use 1980 census data to measure the impact of the age structure and real income per household on the willingness of households to pay for a constant quality house. • Extrapolating these variables forward to 2010, we conclude that evolving demographic forces are likely to raise real house prices, not lower them.

The Price of Housing in the United States, 1890–2006

Working paper, 2024

We construct the first consistent market rent and home sales price series for American cities across the 20th century using millions of newspaper real estate listings. Our findings revise several stylized facts about U.S. housing markets. Real market rents did not fall during the 20th century for most cities. Instead, real rental price levels increased by about 20% from 1890 to 2006. There was also greater growth in real housing sales prices from 1965 to 1995 than is commonly understood. Using these series we document several new facts about housing markets. The return to homeownership has varied considerably across cities and over time, but rental returns were historically much more important than capital gains in every city. We discuss the implications of our indices for the business cycle and the consumer price index. Finally, we provide evidence that housing prices increased unevenly across cities over time in response to natural building and regulatory constraints.