New intermetropolitan and time-series data from the BLS are used to derive and model the incidence and the duration of rental vacancies and to assess the importance of those indicators to the price adjustment mechanism for rental housing. Research findings indicate that the duration of vacancy varies with measures of MSA housing costs and housing stock heterogeneity; in contrast, the incidence of vacancy varies directly with measures of population mobility, presence of public housing units, and population growth. Results support a more general specification of rental price adjustment in which the rate of real rent change reflects deviations in observed vacancy incidence and duration from their equilibrium levels. Based on this innovation, the research provides new estimates of equilibrium vacancy rates for a large set of metropolitan areas over the 1987-1996 period.
This paper employs new census vacancy rate data to analyze the price-adjustment mechanism for rental housing. The study extends previous research on this topic, which provided conflicting evidence concerning the traditional theory of rental housing market adjustment (see Smith [10], [11]; DeLeeuw and Ekanem [2]; Eubank and Sirmans [4]; and Rosen and Smith [8]). Cross-section and time-series data are pooled to estimate natural vacancy rates for sixteen United States cities for the 1981-85 period. The analysis further explores the determinants of variation in natural vacancy rates across those metropolitan areas. Copyright American Real Estate and Urban Economics Association.
Yield spreads between mortgage pass-through and U.S. Treasury securities may reflect differences in taxation, phenomena affecting relative supply and demand, and compensation for default, call, and marketability risks on mortgage instruments. Our research empirically models differences in yields between pass-throughs and comparable-maturity Treasuries. We find that interest-rate volatility and the term structure of rates, factors often cited in the mortgage pricing literature as affecting the mortgage call premium, are the primary determinants of movements in these spreads. Moreover, these effects have grown in importance in recent years as exercise of the prepayment option has increased. We also find evidence that liquidity and credit concerns affect the pricing of pass-through securities.As the mortgage-backed securities market has expanded, researchers in academia and on Wall Street have increasingly focused their attention on the pricing of mortgage securities relative to other investments. Determining the factors that affect the relative yield performance of pass-throughs holds obvious interest not only for those researchers but also for investors in mortgages and other credit market instruments. Evaluation of pass-through/Treasury spreads also has important implications for the pricing of mortgages in the primary market. Virtually all new government-insured mortgages are now packaged into pass-throughs guaranteed by the Government National Mortgage Association (GNMA), and most conventional home loans are sold into the secondary market as well. The increased reliance on the secondary market for mortgage funding coupled with the deregulation of interest rates at financial institutions have linked mortgage interest rates more closely to pass-through yields. Consequently, the price of mortgage credit relative to other types of financing will depend largely on changes in secondary market spreads.
This paper estimates a proportional hazard model of duration of residence in rental housing. The study employs unique data from the BLS-CPI housing sample to construct the duration of rental occupancy for metropolitan areas over the 1987-1998 period. American Housing Survey and other metropolitan economic data are used to proxy time-varying covariates of duration of residence. The paper employs an innovative semi-parametric estimation approach for group duration analysis of the proportional hazard model, as originally proposed by Ryu (1994) and then modified by Deng [(1995), (1997)]. Results of the analysis indicate that the duration of residence in rental housing varies significantly across individual units and market segments. In fact, the duration of residence is highly time dependent, given significant intertemporal variation in many of the housing and market covariates. The paper provides evidence of high tenant turnover rates at about 3 years of residence. However, the turnover hazard curve depends as well on market conditions and housing policy. For example, imposition of rent control can shift the peak of the tenant turnover hazard curve to the left. Research findings further indicate that median housing costs, public housing share of the rental stock, poverty rate, and African-American and Hispanic share of tenant households are among those factors that positively affect tenant turnover hazard rates and hence are negatively related to tenant residence duration. Elevator buildings, unemployment rate, population growth and central city share of the rental stock negatively affect tenant turnover hazard rates and hence are positively related with tenant residence duration. Further, the estimated pattern of duration of residence was shown to vary substantially across 33 large metropolitan markets. Simulation results further indicate the sensitivity of duration of residence to housing locational and structural characteristics. For example, findings for New York City indicate that increased geographic dispersion of rental housing, as reflected in a reduction in the share of rental stock in the central city to national average levels, would serve to boost cumulative tenant turnover rates by 12 percent by the end of year three of the rental lease. Similarly, simulated reduction in the density of rental housing, as reflected in downward adjustment in the share of NYC buildings with seven or more stories to that of the national average level, would serve to increase cumulative tenant turnover rates by 13 percent. The research provides new evidence as regards tenant and market characteristics that determine the duration of residency. Clearly, an improved understanding thereof offers new insights as regards fluctuations in tenant turnover, building occupancy, and rent flows, as well as new confidence in pro forma assumptions critical to rental housing development.
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