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Time-varying spillovers between housing sentiment and housing market in the United States☆

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  • André, Christophe
  • Gabauer, David
  • Gupta, Rangan

Abstract

This paper investigates spillovers between the housing sentiment index of Bork et al.(2020), common factors in US real housing returns and their volatility, GDP growth and real interest rates. We find that in contrast to spillovers from the common factor of housing returns to housing sentiment and GDP, reverse spillovers are relatively weak. This suggests that, while a shock to housing prices is likely to have a significant impact on housing sentiment and the economy, a purely exogenous shock to housing sentiment may in itself have little impact on housing returns and volatility.

Suggested Citation

  • André, Christophe & Gabauer, David & Gupta, Rangan, 2021. "Time-varying spillovers between housing sentiment and housing market in the United States☆," Finance Research Letters, Elsevier, vol. 42(C).
    • Handle: RePEc:eee:finlet:v:42:y:2021:i:c:s1544612321000064
    DOI: 10.1016/j.frl.2021.101925
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    More about this item

    Keywords

    Common housing market movements; Sentiment; Time-varying spillovers;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • R31 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location - - - Housing Supply and Markets

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