A1021
Title: Exploring house price momentum in the US after the subprime mortgage crisis
Authors: Heejoon Han - Sungkyunkwan University (Korea, South) [presenting]
Pinshan Pan - Sungkyunkwan University (Korea, South)
Abstract: The aim is to examine the relationship between house prices, rents, and user costs of housing in the United States from January 2009 to March 2022. First, the time-varying coefficient cointegration model is used to explain the long-run relationship and adopt an error correction model with endogenous regime switching, which turns out to fit the data better than existing models. The results show that the U.S. housing market has either a strong or weak house price momentum state after the subprime mortgage crisis. House price returns are more persistent in the strong momentum regime, and error correction is slower. The degree of house price momentum is estimated to be 1.104 and 0.339 in the strong and weak regimes, respectively. It is estimated that 74\% of the data remains in the strong momentum regime. The extracted latent factor decides the regime of the housing market, and the adaptive lasso on the FRED-MD is run to find the link between the house price momentum and macroeconomic and financial variables.
