IDEAS home Printed from https://ideas.repec.org/a/taf/applec/v48y2016i31p2912-2936.html
   My bibliography  Save this article

Do changes in the fundamentals have symmetric or asymmetric effects on house prices? Evidence from 52 states of the United States of America

Author

Listed:
  • Mohsen Bahmani-Oskooee
  • Seyed Hesam Ghodsi

Abstract

Time-series studies that have tried to establish the long-run relationship between house prices and economic fundamentals have been criticized due to low power of their cointegration tests. On the other hand, those who have used panel data and panel tests to increase the power have found mixed results. Both groups have assumed that changes in the fundamentals have symmetric effects on house prices. In this article, we use nonlinear ARDL approach to cointegration and error-correction modelling and quarterly data from each of the states in the US to show that changes in the fundamentals have asymmetric effects on house prices, in the short run as well as in the long run. Cointegration between house prices and fundamentals is established in 30 states and in District of Columbia.

Suggested Citation

  • Mohsen Bahmani-Oskooee & Seyed Hesam Ghodsi, 2016. "Do changes in the fundamentals have symmetric or asymmetric effects on house prices? Evidence from 52 states of the United States of America," Applied Economics, Taylor & Francis Journals, vol. 48(31), pages 2912-2936, July.
    • Handle: RePEc:taf:applec:v:48:y:2016:i:31:p:2912-2936
    DOI: 10.1080/00036846.2015.1130795
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/00036846.2015.1130795
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/00036846.2015.1130795?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Mohsen Bahmani-Oskooee & Seyed Hesam Ghodsi, 2020. "On the Link between Oil Price and House Prices in the U.S.: Asymmetric Evidence from State Level Data," International Real Estate Review, Global Social Science Institute, vol. 23(1), pages 65-106.
    2. Mohsen Bahmani-Oskooee & Seyed Hesam Ghodsi, 2020. "On the Link between Oil Price and House Prices in the U.S.: Asymmetric Evidence from State Level Data," International Real Estate Review, Asian Real Estate Society, vol. 23(1), pages 691-732.
    3. Bahmani-Oskooee, Mohsen & Ghodsi, Seyed Hesam, 2018. "Asymmetric causality between the U.S. housing market and its stock market: Evidence from state level data," The Journal of Economic Asymmetries, Elsevier, vol. 18(C), pages 1-1.
    4. Salisu, Afees A. & Raheem, Ibrahim D. & Ndako, Umar B., 2020. "The inflation hedging properties of gold, stocks and real estate: A comparative analysis," Resources Policy, Elsevier, vol. 66(C).
    5. Mohsen Bahmani-Oskooee & Sahar Bahmani & Ali M. Kutan & Dan Xi, 2019. "On the Asymmetric Effects of Exchange Rate Changes on the Demand for Money: Evidence from Emerging Economies," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 18(1), pages 1-22, April.
    6. repec:eee:joecas:v:18:y:2018:i:c:p:- is not listed on IDEAS
    7. Mohsen Bahmani-Oskooee & Seyed Hesam Ghodsi, 2017. "Asymmetric Causality and Asymmetric Cointegration between Income and House Prices in the United States of America," International Real Estate Review, Global Social Science Institute, vol. 20(2), pages 127-165.
    8. Bahmani-Oskooee, Mohsen & Wu, Tsung-Pao, 2018. "Housing prices and real effective exchange rates in 18 OECD countries: A bootstrap multivariate panel Granger causality," Economic Analysis and Policy, Elsevier, vol. 60(C), pages 119-126.
    9. William Miles, 2020. "The Dynamics of House Prices and Income in the UK," International Real Estate Review, Global Social Science Institute, vol. 23(3), pages 1023-1042.
    10. Mohsen Bahmani-Oskooee & Nazif Durmaz, 2020. "Asymmetric cointegration and the J-curve: evidence from commodity trade between Turkey and EU," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 47(4), pages 757-792, November.
    11. Khalid M. Kisswani & Arezou Harraf & Amjad M. Kisswani, 2019. "Revisiting the effects of oil prices on exchange rate: asymmetric evidence from the ASEAN-5 countries," Economic Change and Restructuring, Springer, vol. 52(3), pages 279-300, August.
    12. Mohsen Bahmani-Oskooee & Seyed Hesam Ghodsi, 2018. "Asymmetric Causality between Unemployment Rate and House Prices in each State of the U.S," International Real Estate Review, Global Social Science Institute, vol. 21(1), pages 71-92.
    13. William Miles, 2020. "The Dynamics of House Prices and Income in the UK," International Real Estate Review, Global Social Science Institute, vol. 23(3), pages 397-416.
    14. Mohsen Bahmani-Oskooee & Seyed Hesam Ghodsi, 2018. "Link between Housing and Stock Markets: Evidence from OECD Using Asymmetry Analysis," International Real Estate Review, Global Social Science Institute, vol. 21(4), pages 447-471.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:applec:v:48:y:2016:i:31:p:2912-2936. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/RAEC20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.