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DC Field | Value | Language |
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dc.contributor.author | Caporale, GM | - |
dc.contributor.author | Gil-Alana, LA | - |
dc.date.accessioned | 2023-03-12T13:17:17Z | - |
dc.date.available | 2023-03-12T13:17:17Z | - |
dc.date.issued | 2023-03-20 | - |
dc.identifier | ORCID iD: Guglielmo Maria Caporale https://orcid.org/0000-0002-0144-4135 | - |
dc.identifier | ORCID iD: Luis Alberiko Gil-Alana http://orcid.org/0000-0002-5760-3123 | - |
dc.identifier.citation | Caporale, G.M. and Gil-Ana, L.A. (2023) 'US house prices by Census Division: persistence, trends and structural breaks', International Advances in Economic Research, 29 (1-2), pp. 79 - 90. doi: 10.1007/s11294-023-09868-9. | en_US |
dc.identifier.issn | 1083-0898 | - |
dc.identifier.uri | https://bura.brunel.ac.uk/handle/2438/26124 | - |
dc.description | Data Availability: Data used in this work are available from the authors upon request. | - |
dc.description.abstract | Copyright © 2023 The Author(s). This paper uses fractional integration methods to examine persistence, trends and structural breaks in United States house prices, more specifically the monthly Federal Housing Finance Agency House Price Index for census divisions, and the United States as a whole over the period from January 1991 to August 2022. The full sample estimates imply that the order of integration of the series is above one in all cases, and is particularly high for the aggregate series, implying high levels of persistence. However, when the possibility of structural breaks is taken into account, segmented trends are detected. The subsample estimates of the fractional differencing parameter tend to be lower, with mean reversion occurring in a number of cases. This means that shocks in the series are expected to be transitory in these subsamples, disappearing in the long run by themselves. In addition, the time trend coefficient is at its highest in the last subsample, which in most cases starts around May 2020 coincident with the beginning of the coronavirus pandemic. The results provide clear evidence of differences between census divisions, which implies that appropriate housing policies should be designed at the local (rather than at the federal) level. | - |
dc.description.sponsorship | Luis A. Gil-Alana gratefully acknowledges financial support from the Grant PID2020-113691RB-I00 funded by MCIN/AEI/ https://doi.org/10.13039/501100011033, and from an internal Project from the Universidad Francisco de Vitoria. Open Access funding provided thanks to the CRUE-CSIC agreement with Springer Nature. | - |
dc.format.extent | 79 - 90 | - |
dc.format.medium | Print-Electronic | - |
dc.language.iso | en_US | en_US |
dc.publisher | Springer Nature | en_US |
dc.relation.uri | https://www.cesifo.org/DocDL/cesifo1_wp10143.pdf | - |
dc.relation.uri | https://www.brunel.ac.uk/economics-and-finance/research/pdf/2220-Dec-GMC-US-HOUSE-PRICES.pdf | - |
dc.relation.uri | https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4309194 | - |
dc.rights | Copyright © 2023 The Author(s). Rights and permissions: Open Access. This article is licensed under a Creative Commons Attribution 4.0 International License, which permits use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons licence, and indicate if changes were made. The images or other third party material in this article are included in the article's Creative Commons licence, unless indicated otherwise in a credit line to the material. If material is not included in the article's Creative Commons licence and your intended use is not permitted by statutory regulation or exceeds the permitted use, you will need to obtain permission directly from the copyright holder. To view a copy of this licence, visit https://creativecommons.org/licenses/by/4.0/. | - |
dc.rights.uri | https://creativecommons.org/licenses/by/4.0/ | - |
dc.subject | US house prices | en_US |
dc.subject | fractional integration | en_US |
dc.subject | persistence | en_US |
dc.subject | trends | en_US |
dc.subject | structural breaks | en_US |
dc.title | US house prices by Census Division: persistence, trends and structural breaks | en_US |
dc.type | Article | en_US |
dc.identifier.doi | https://doi.org/10.1007/s11294-023-09868-9 | - |
dc.relation.isPartOf | International Advances in Economic Research | - |
pubs.issue | 1-2 | - |
pubs.publication-status | Published | - |
pubs.volume | 29 | - |
dc.identifier.eissn | 1573-966X | - |
dc.rights.holder | The Author(s) | - |
Appears in Collections: | Dept of Economics and Finance Research Papers |
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