This study develops three novel housing risk factors to explore the sources of risk in US state‐level housing markets. The asset‐pricing models enrich our investigations into housing markets from three perspectives: housing boom–bust, volatile–calm, and factors’ time‐varying impact regimes. The findings indicate that state‐level housing returns all show significant exposure to systemic risk of housing markets, but the demographic and economic factors’ explanatory powers for housing returns differ across markets. Although the liquidity factor is significant under all three frameworks, the inventory and credit factors show significant impacts only in the impact‐switching specification. There are differences in the responses of housing returns to various risk factors and shifts in housing regimes across state housing markets, depending on whether the states exhibited housing bubbles. The results suggest that an effective housing stabilization mechanism must be capable of tracking shifts in the relations between housing markets and risk factors.

中文翻译：

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住房市场风险的新来源：美国各州住房市场的资产定价

这项研究提出了三种新颖的住房风险因素，以探索美国州一级住房市场的风险来源。资产定价模型从以下三个方面丰富了我们对房地产市场的调查：房地产繁荣—萧条，动荡—平静以及因素的时变影响机制。研究结果表明，州一级的房屋收益率都显示出住房市场存在的系统性风险，但是人口和经济因素对房屋收益率的解释力在各个市场之间是不同的。尽管在所有三个框架下流动性因素均很重要，但库存和信贷因素仅在影响转换规范中显示出重大影响。住房收益对各种风险因素的反应有所不同，而且各州住房市场的住房制度也有所变化，取决于各州是否表现出房地产泡沫。结果表明，有效的住房稳定机制必须能够跟踪住房市场与风险因素之间关系的变化。