Time‐varying connectedness of metropolitan housing markets

Abstract

We construct a time-varying measure of connectedness for 382 U.S. metropolitan housing markets using monthly house price data from 1975 to the present. Housing connectedness in the long run is found to be much stronger than the instantaneous connectedness, both of which exhibit notable variation over time and across metropolitan areas. Unlike stock market connectedness, housing market connectedness leads the business cycle; it helps predict the likelihood of future recessions.

Housing search activity and quantiles-based predictability of housing price movements in the USA

“…Statistically speaking, US residential real estate represents about 85.00% of total household non-financial assets, 32.56% of total household net worth and 35.10% of US net wealth (financial accounts of the USA, Second Quarter, 2023) [2]. Hence, it is not surprising that housing price movements have been historically associated with aggregate and regional business cycles [Balcilar et al (2014), Apergis et al (2015), Nyakabawo et al (2015), Emirmahmutoglu et al (2016) and Payne and Sun (2023)]. Naturally, predicting the future path of housing price returns and its volatility contingent on the information content of the HSI in our current context is of immense value, to not only real estate consumers and investors but also to the policymaker.…”