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Policy Uncertainty and House Prices in the United States

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  • Mohsen Bahmani-Oskooee
  • Seyed Hesam Ghodsi

Abstract

Executive Summary. Previous research has either relied on a time series model or a panel model to establish cointegration between house prices and their main determinants, such as a measure of household income and a measure of interest rates. The findings are mixed but mostly lean toward rejecting cointegration between house prices and economic fundamentals. None of the studies included a measure policy uncertainty in their models. We include a measure of policy uncertainty in our model and use the bounds testing approach for cointegration and error-correction modeling. We find that policy uncertainty has short-run and mostly negative effects on house prices in 24 states. The short-run effects last into the long run in 17 states. Furthermore, cointegration is established in 35 states.

Suggested Citation

  • Mohsen Bahmani-Oskooee & Seyed Hesam Ghodsi, 2017. "Policy Uncertainty and House Prices in the United States," Journal of Real Estate Portfolio Management, Taylor & Francis Journals, vol. 23(1), pages 73-85, January.
    • Handle: RePEc:taf:repmxx:v:23:y:2017:i:1:p:73-85
    DOI: 10.1080/10835547.2017.12089999
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    Cited by:

    1. Sercan Demiralay & Erhan Kilincarslan, 2024. "Uncertainty Measures and Sector-Specific REITs in a Regime-Switching Environment," The Journal of Real Estate Finance and Economics, Springer, vol. 69(3), pages 545-584, October.

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