The Resource Price expectations and the U.S. housing boom, by Pascal Towbin and Sebastian Weber

Price expectations and the U.S. housing boom, by Pascal Towbin and Sebastian Weber

Label
Price expectations and the U.S. housing boom
Title
Price expectations and the U.S. housing boom
Statement of responsibility
by Pascal Towbin and Sebastian Weber
Creator
Contributor
Author
Subject
Language
eng
Summary
"Between 1996 and 2006 the U.S. has experienced an unprecedented boom in house prices. As it has proven to be difficult to explain the large price increase by observable fundamentals, many observers have emphasized the role of speculation, i.e. expectations about future price developments. The argument is, however, often indirect: speculation is treated as a deviation from a benchmark. The present paper aims to identify house price expectation shocks directly. To that purpose, the authors estimate a VAR model for the U.S. and use sign restrictions to identify house price expectation, housing supply, housing demand, and mortgage rate shocks. House price expectation shocks are the most important driver of the boom and account for about 30 percent of the real house price increase. They also construct a model-based measure of exogenous changes in price expectations and show that this measure leads a survey-based measure of changes in house price expectations. Their main identification scheme leaves open whether expectation shifts are realistic or unrealistic. In extensions, they provide evidence that price expectation shifts during the boom were primarily unrealistic and were only marginally affected by realistic expectations about future fundamentals."--Abstract
Member of
Cataloging source
SIMAS
Index
no index present
LC call number
HG3810
LC item number
.I45
Literary form
non fiction
Nature of contents
dictionaries
Series statement
IMF working paper
Series volume
WP/15/182
Label
Price expectations and the U.S. housing boom, by Pascal Towbin and Sebastian Weber
Publication
Note
"July 2015."
http://library.link/vocab/branchCode
  • net
Carrier category
online resource
Carrier category code
cr
Carrier MARC source
rdacarrier
Content category
text
Content type code
txt
Content type MARC source
rdacontent
Contents
  • Cover; Contents; I: Introduction; II: Empirical Framework; A: Model and Data; B: Identification; C: Computational Implementation; III: Results; A: Impulse Response Functions; B: Contribution of Price Expectation Shocks to the Housing Boom And Bust; C: Forecast Error Variance Decomposition; D: Comparison of Price Expectation Shocks with Surveys about Price Expectations; E: Realistic versus Unrealistic Price Expectation Shocks; IV: Robustness; A: Alternative Summary Measures of the Set of Accepted Impulse Responses; B: Different Sample Length, Lag Length, and Trends
  • 8 Historical Contribution of Price Expectation Shock to Real House Price DevelopmentsTables; 1 Baseline Shock Identification; 2 Contribution of Shocks to Price Boom and Bust; 3 Variance Decomposition; 4 Correlation of Model-based Expectation Measure (t) with Survey-based Measure (t+i); 5 Contribution of Shocks to Price Boom, Alternative Models; 6 Shock Identification including LTV Shock
  • C: Accounting for Shocks to LTV StandardsD: Alternative Price Measures; V: Conclusion; References; Annexes; Figures; 1 Evolution of Variables over Time; 2 Baseline Model: Impulse Response Functions; 3 Historical Decomposition of Real House Price Developments; 4 Survey-based Expectations versus Model-based Expectations; 5 NPV[sub(0), sub(T)] for Expanding Investment Horizon; 6 Realistic and Unrealistic Price Expectation Shocks: Impulse Response Functions; 7 Realistic and Unrealistic Price Expectation Shocks: Historical Decomposition
Control code
ocn915151970
Extent
1 online resource (35 pages)
Form of item
online
Isbn
9781513522074
Media category
computer
Media MARC source
rdamedia
Media type code
c
http://library.link/vocab/ext/overdrive/overdriveId
832697
http://library.link/vocab/recordID
.b37114128
Specific material designation
remote
System control number
  • (OCoLC)915151970
  • imf1513522078

Library Locations

    • Deakin University Library - Geelong Waurn Ponds CampusBorrow it
      75 Pigdons Road, Waurn Ponds, Victoria, 3216, AU
      -38.195656 144.304955
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