Time-varying impacts of expectations on housing markets across hot and cold phases

IF 16.4 1区化学 Q1 CHEMISTRY, MULTIDISCIPLINARY

Accounts of Chemical Research Pub Date : 2022-03-20 DOI:10.1111/infi.12408

MeiChi Huang

引用次数: 0

Abstract

This study investigates time-varying roles of people's expectations in driving the US housing price and quantity dynamics using a Threshold Vector Autoregressive model. The expectation measure, a good-time-to-buy (GTTB) index, works as the threshold indicator to classify pessimism and optimism phases, and represents the model-based measure of uncertainty. There is strong evidence for regime switches in responses to shocks across the two phases. The results show that good and bad shocks play similar roles in housing markets. Tiny responses of GTTB to both large good and bad shocks in the two regimes suggest “too bad to be believed” and “too good to be believed” patterns. The estimation is biased as volatility shocks are neglected in the housing boom and bust.

查看原文本刊更多论文

在冷热阶段对房地产市场预期的时变影响

本研究使用阈值向量自回归模型调查了人们的期望在推动美国房价和数量动态方面的时变作用。期望度量，即买入良机(GTTB)指数，作为区分悲观和乐观阶段的阈值指标，代表了基于模型的不确定性度量。有强有力的证据表明，在两个阶段的冲击下，制度会发生变化。结果表明，好冲击和坏冲击在房地产市场中起着相似的作用。GTTB对两个政权的大的好冲击和坏冲击的微小反应表明“坏得令人难以置信”和“好得令人难以置信”的模式。这种估计是有偏差的，因为波动性冲击在房地产繁荣和萧条中被忽略了。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

求助全文

约1分钟内获得全文求助全文

来源期刊

Accounts of Chemical Research 化学-化学综合

CiteScore

31.40

自引率

1.10%

发文量

312

审稿时长

2 months

期刊介绍： Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance. Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.