House price cycles may have considerable macroeconomic effects even if they evolve heterogeneously across local markets. In this paper, we use a panel Markov-switching model allowing for time-varying volatility to jointly analyze national- and state-level house price regimes for the US over the period 1976 to 2017. Our approach identifies three house price regimes endogenously, namely, a nationwide boom regime, a spatially limited bust regime and a nationwide bust regime. The spatially limited bust regime occurs in the coastal states where, compared to other states, the population density is high and the unemployment rate, the housing density as well as the land supply elasticity are low. This spatially limited bust regime usually follows a nationwide house price boom. Hence, house price movements in the coastal states usually determine the nationwide cycle in the US. Moreover, boom and bust cycles are accompanied by an exaggeration of house price increases during the boom in this group of states. In contrast, a bubble in the housing market occurred in almost all states prior to the Great Recession. This is one explanation for the severity of the Great Recession.

房价周期可能会产生相当大的宏观经济影响，即使它们在各地市场上的发展也不同。在本文中，我们使用马尔可夫切换面板模型，该模型允许随时间变化的波动性，以共同分析美国在1976年至2017年期间的国家和州一级房价制度。我们的方法是内生地识别三种房价制度，即，全国性的繁荣时期，空间有限的萧条时期和全国性的萧条时期。与其他州相比，沿海州发生了空间受限的萧条制度，与其他州相比，该州的人口密度高，失业率，住房密度和土地供应弹性低。这种空间有限的破产制度通常是在全国范围的房价飞涨之后进行的。因此，沿海国家的房价走势通常决定了美国的全国性周期。此外，繁荣和萧条的周期伴随着在这一组国家繁荣时期房价过高的夸大。相反，在大萧条之前，几乎所有州都出现了房地产市场泡沫。这是对大衰退严重程度的一种解释。