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Title: |
Sources of Fluctuations in the Housing Market |
| Author: |
Kim, Myeong-Soo;
Coulson, N. Edward |
| Author
Affiliation: |
Korea Research
Institute for Human Settlements; PA State U |
| Source: |
International Economic Journal, Spring 1999, v. 13, no. 1, pp. 57-70 |
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Publication Date: |
Spring 1999 |
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Abstract: |
In this study, sources of economic
fluctuations in the housing market are investigated using U.S. data. A
structural VAR (vector autoregressive) model is set up with a new method
of ordering the residuals introduced by Swanson and Granger (1997) that
is based on an analysis of the contemporaneous error structure. To
specify the sources of fluctuations in the housing market, several
important innovations are included in the model: a marginal income tax
rate shock, an interest rate shock, a factor cost shock, a housing
supply shock, an income shock, a housing demand shock, a residential
price shock, and a housing price shock. Empirical results show that the
interest rate shock appears to be the most significant innovation among
all shocks, although the marginal federal income tax rate shock, the
housing price shock, and the factor price for housing supply shock also
play important roles in explaining fluctuations in the housing market. |
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