Convergence in US house prices

Abstract

This paper analyses the convergence of US house prices. Our results confirm the existence of some degree of segmentation in the US housing market. We also provide robust evidence that the bursting of the housing price bubble has altered this market, observing different results when the sample includes information posterior to 2010.However, we appreciate different effects depending on the geographical level of disaggregation that is employed.3

Procesy konwergencji na europejskich rynkach mieszkaniowych. Ujęcie międzynarodowe i regionalne

“…Zidentyfikowane zostało jednak zjawisko konwergencji klubowej [Kim, Rous 2012oraz Nissan, Payne 2013. Również badania Montanesa i Olmos podkreślają wyraźną segmentację regionalnych rynków mieszkaniowych w USA, wykazując występowanie konwergencji klubowej [Montanes, Olmos 2013].…”

Continuous Workout Mortgages: Efficient pricing and systemic implications

“…Using detailed data and tools researchers revealed inefficiencies in house prices (see e.g. Case and Shiller (1989), Tirtiroglu (1992)), structural breaks (see Canarella et al (2012)), market segmentation (Montañés and Olmos (2013)) and ripple effects (UK: Meen (1999) and US: Canarella et al (2012)). There is, however, evidence in favour of unit roots in house price index capital gains.…”

Heterogeneous convergence of regional house prices and the complexity in China

“…The first category is unit root test and its various extended forms including panel data unit root testing and unit root testing with structure breaks (Clark and Coggin, 2009), etc. The disadvantage of unit root tests is that it does not necessarily imply the existence of convergence when the unit root test cannot be rejected (Montañés and Olmos, 2013).The second category is Granger causality test combined with VAR models, cointegration test and impulse response, etc. (Cooper et.al.…”

“…Following Kim et al (2012) and Montañés et al (2013), in this paper, we have employed a relatively new convergence methodology by Sul (2007, 2009) rather than the conventional way of using unit root tests to analyze the convergence of house prices in China, because failing to reject the unit root null hypothesis does not necessarily imply the absence of convergence. By taking advantages of the new method which allows for a wide range of transitional dynamics and individual heterogeneity, the hypothesis of this research is to examine empirically whether there is a single common convergence factor or otherwise possible segmentation across regions in China's housing market.…”

“…Then, in order to obtain further statistical evidence of the change, we have applied the Kruskal-Wallis to test whether those clubs in each period have been generated by the same general distribution by following Montañés et al (2013). Figure 4 shows the evolution of the p-values.…”