Abstract
This paper analyzes the time-varying impact of macroeconomic forces on the synchronization in housing movements across all the U.S. states. Using a Bayesian modeling approach, the house price movements are decomposed into national, regional and state-specific factors. We then analyze the time-varying impact of macroeconomic forces on these national and regional factors. Evidence suggests that in several Western and Eastern states the house price variations are dominated by the national factor, whereas the regional factor dominates the Southern and Midwestern markets. These factors are found to have a time-varying relationship with most macroeconomic indicators with particularly pronounced time-variation caused by national house prices, inflation rate and consumer sentiments.
Acknowledgments
We acknowledge valuable inputs from the anonymous referee.
Null Hypothesis | Obs | F-Statistic | Prob. |
---|---|---|---|
National HPI does not Granger Cause National Factor | 136 | 1.83474 | 0.02730 |
National Factor does not Granger Cause National HPI | 1.11172 | 0.35120 | |
Real GDP does not Granger Cause National Factor | 136 | 1.51899 | 0.09270 |
National Factor does not Granger Cause Real GDP | 2.74546 | 0.00050 | |
IIP does not Granger Cause National Factor | 136 | 1.40844 | 0.13770 |
National Factor does not Granger Cause IIP | 1.61495 | 0.06470 | |
Buss Loans does not Granger Cause National Factor | 136 | 1.07883 | 0.38420 |
National Factor does not Granger Cause Buss Loans | 1.30168 | 0.19740 | |
Short-term Rate does not Granger Cause National Factor | 136 | 0.78808 | 0.72140 |
National Factor does not Granger Cause Short-term Rate | 1.34192 | 0.17280 | |
Long-term Rate does not Granger Cause National Factor | 136 | 0.70378 | 0.81320 |
National Factor does not Granger Cause Long-term Rate | 1.08933 | 0.37350 | |
Mortgage Rate does not Granger Cause National Factor | 136 | 1.05126 | 0.41310 |
National Factor does not Granger Cause Mortgage Rate | 0.70752 | 0.80940 | |
PCE Deflator does not Granger Cause National Factor | 136 | 0.93631 | 0.54410 |
National Factor does not Granger Cause PCE Deflator | 1.04877 | 0.41580 | |
GDP Deflator does not Granger Cause National Factor | 136 | 1.54175 | 0.08520 |
National Factor does not Granger Cause GDP Deflator | 1.16126 | 0.30500 | |
CPI does not Granger Cause National Factor | 136 | 1.09121 | 0.37160 |
National Factor does not Granger Cause CPI | 1.36732 | 0.15860 | |
Consumer Senti. does not Granger Cause National Factor | 127 | 0.96890 | 0.50640 |
National Factor does not Granger Cause Consumer Senti. | 0.95872 | 0.51820 | |
US Leading Index does not Granger Cause National Factor | 112 | 1.07442 | 0.39450 |
National Factor does not Granger Cause US Leading Index | 1.54180 | 0.09420 | |
Long-Short Spread does not Granger Cause National Factor | 96 | 1.98892 | 0.02310 |
National Factor does not Granger Cause Long-Short Spread | 2.27823 | 0.00840 |
Null Hypothesis: | Obs | F-Statistic | Prob. |
---|---|---|---|
National HPI does not Granger Cause Northeast Factor | 136 | 2.44625 | 0.00200 |
Northeast Factor does not Granger Cause National HPI | 1.34103 | 0.17330 | |
Real GDP does not Granger Cause Northeast Factor | 136 | 3.54616 | 0.00002 |
Northeast Factor does not Granger Cause Real GDP | 1.28905 | 0.20570 | |
IIP does not Granger Cause Northeast Factor | 136 | 2.43691 | 0.00210 |
Northeast Factor does not Granger Cause IIP | 1.39142 | 0.14600 | |
Buss Loans does not Granger Cause Northeast Factor | 136 | 1.46245 | 0.11380 |
Northeast Factor does not Granger Cause Buss Loans | 1.05922 | 0.40460 | |
Short-term Rate does not Granger Cause Northeast Factor | 136 | 5.11231 | 0.00000 |
Northeast Factor does not Granger Cause Short-term Rate | 2.04987 | 0.01120 | |
Long-term Rate does not Granger Cause Northeast Factor | 136 | 2.84226 | 0.00040 |
Northeast Factor does not Granger Cause Long-term Rate | 1.60426 | 0.06740 | |
Mortgage Rate does not Granger Cause Northeast Factor | 136 | 3.27972 | 0.00005 |
Northeast Factor does not Granger Cause Mortgage Rate | 1.66861 | 0.05270 | |
PCE Deflator does not Granger Cause Northeast Factor | 136 | 0.85939 | 0.63680 |
Northeast Factor does not Granger Cause PCE Deflator | 0.87127 | 0.62250 | |
GDP Deflator does not Granger Cause Northeast Factor | 136 | 1.22590 | 0.25120 |
Northeast Factor does not Granger Cause GDP Deflator | 1.40229 | 0.14070 | |
CPI does not Granger Cause Northeast Factor | 136 | 1.30907 | 0.19270 |
Northeast Factor does not Granger Cause CPI | 0.94455 | 0.53430 | |
Consumer Senti. does not Granger Cause Northeast Factor | 127 | 1.03295 | 0.43440 |
Northeast Factor does not Granger Cause Consumer Senti. | 0.88829 | 0.60180 | |
US Leading Index does not Granger Cause Northeast Factor | 112 | 1.96580 | 0.02000 |
Northeast Factor does not Granger Cause US Leading Index | 0.92955 | 0.55340 | |
Long-Short Spread does not Granger Cause Northeast Factor | 96 | 1.19505 | 0.29350 |
Northeast Factor does not Granger Cause Long-Short Spread | 0.77091 | 0.73470 |
Null Hypothesis | Obs | F-Statistic | Prob. |
---|---|---|---|
National HPI does not Granger Cause Midwest Factor | 136 | 2.22207 | 0.00540 |
Midwest Factor does not Granger Cause National HPI | 2.70268 | 0.00070 | |
Real GDP does not Granger Cause Midwest Factor | 136 | 1.74792 | 0.03860 |
Midwest Factor does not Granger Cause Real GDP | 0.72379 | 0.79260 | |
IIP does not Granger Cause Midwest Factor | 136 | 2.13466 | 0.00780 |
Midwest Factor does not Granger Cause IIP | 1.80284 | 0.03100 | |
Buss Loans does not Granger Cause Midwest Factor | 136 | 0.41705 | 0.98580 |
Midwest Factor does not Granger Cause Buss Loans | 1.31787 | 0.18720 | |
Short-term Rate does not Granger Cause Midwest Factor | 136 | 2.61385 | 0.00100 |
Midwest Factor does not Granger Cause Short-term Rate | 1.91056 | 0.02000 | |
Long-term Rate does not Granger Cause Midwest Factor | 136 | 1.57471 | 0.07540 |
Midwest Factor does not Granger Cause Long-term Rate | 2.44515 | 0.00200 | |
Mortgage Rate does not Granger Cause Midwest Factor | 136 | 1.51384 | 0.09450 |
Midwest Factor does not Granger Cause Mortgage Rate | 1.75983 | 0.03680 | |
PCE Deflator does not Granger Cause Midwest Factor | 136 | 1.76078 | 0.03670 |
Midwest Factor does not Granger Cause PCE Deflator | 0.43636 | 0.98150 | |
GDP Deflator does not Granger Cause Midwest Factor | 136 | 1.69588 | 0.04740 |
Midwest Factor does not Granger Cause GDP Deflator | 0.72988 | 0.78620 | |
CPI does not Granger Cause Midwest Factor | 136 | 1.45012 | 0.11890 |
Midwest Factor does not Granger Cause CPI | 0.23056 | 0.99980 | |
Consumer Senti. does not Granger Cause Midwest Factor | 127 | 0.92404 | 0.55910 |
Midwest Factor does not Granger Cause Consumer Senti. | 0.93917 | 0.54120 | |
US Leading Index does not Granger Cause Midwest Factor | 112 | 0.83284 | 0.66700 |
Midwest Factor does not Granger Cause US Leading Index | 1.11845 | 0.35160 | |
Long-Short Spread does not Granger Cause Midwest Factor | 96 | 1.74159 | 0.05400 |
Midwest Factor does not Granger Cause Long-Short Spread | 0.98304 | 0.49530 |
Null Hypothesis | Obs | F-Statistic | Prob. |
---|---|---|---|
National HPI does not Granger Cause South Factor | 136 | 1.39534 | 0.14410 |
South Factor does not Granger Cause National HPI | 1.23687 | 0.24280 | |
Real GDP does not Granger Cause South Factor | 136 | 2.01439 | 0.01300 |
South Factor does not Granger Cause Real GDP | 1.14932 | 0.31580 | |
IIP does not Granger Cause South Factor | 136 | 2.26131 | 0.00450 |
South Factor does not Granger Cause IIP | 1.38625 | 0.14870 | |
Buss Loans does not Granger Cause South Factor | 136 | 2.43024 | 0.00220 |
South Factor does not Granger Cause Buss Loans | 1.39703 | 0.14320 | |
Short-term Rate does not Granger Cause South Factor | 136 | 3.91251 | 0.00000 |
South Factor does not Granger Cause Short-term Rate | 1.26498 | 0.22220 | |
Long-term Rate does not Granger Cause South Factor | 136 | 3.98457 | 0.00000 |
South Factor does not Granger Cause Long-term Rate | 2.47034 | 0.00180 | |
Mortgage Rate does not Granger Cause South Factor | 136 | 3.26609 | 0.00006 |
South Factor does not Granger Cause Mortgage Rate | 1.56320 | 0.07870 | |
PCE Deflator does not Granger Cause South Factor | 136 | 1.16270 | 0.30370 |
South Factor does not Granger Cause PCE Deflator | 2.27429 | 0.00430 | |
GDP Deflator does not Granger Cause South Factor | 136 | 1.53862 | 0.08620 |
South Factor does not Granger Cause GDP Deflator | 2.17779 | 0.00650 | |
CPI does not Granger Cause South Factor | 136 | 1.51694 | 0.09340 |
South Factor does not Granger Cause CPI | 1.51969 | 0.09250 | |
Consumer Senti. does not Granger Cause South Factor | 127 | 0.94020 | 0.54000 |
South Factor does not Granger Cause Consumer Senti. | 0.86461 | 0.63030 | |
US Leading Index does not Granger Cause South Factor | 112 | 1.38214 | 0.16070 |
South Factor does not Granger Cause US Leading Index | 0.86663 | 0.62730 | |
Long-Short Spread does not Granger Cause South Factor | 96 | 1.07493 | 0.40010 |
South Factor does not Granger Cause Long-Short Spread | 1.34191 | 0.19340 |
Null Hypothesis | Obs | F-Statistic | Prob. |
---|---|---|---|
National HPI does not Granger Cause West Factor | 136 | 1.63700 | 0.05950 |
West Factor does not Granger Cause National HPI | 1.15140 | 0.31390 | |
Real GDP does not Granger Cause West Factor | 136 | 2.82298 | 0.00040 |
West Factor does not Granger Cause Real GDP | 1.28615 | 0.20760 | |
IIP does not Granger Cause West Factor | 136 | 4.51944 | 0.00000 |
West Factor does not Granger Cause IIP | 0.88840 | 0.60180 | |
Buss Loans does not Granger Cause West Factor | 136 | 1.67913 | 0.05060 |
West Factor does not Granger Cause Buss Loans | 0.94874 | 0.52930 | |
Short-term Rate does not Granger Cause West Factor | 136 | 5.81314 | 0.00000 |
West Factor does not Granger Cause Short-term Rate | 1.62543 | 0.06220 | |
Long-term Rate does not Granger Cause West Factor | 136 | 4.39776 | 0.00000 |
West Factor does not Granger Cause Long-term Rate | 2.44231 | 0.00210 | |
Mortgage Rate does not Granger Cause West Factor | 136 | 3.27574 | 0.00005 |
West Factor does not Granger Cause Mortgage Rate | 2.11877 | 0.00840 | |
PCE Deflator does not Granger Cause West Factor | 136 | 1.14277 | 0.32170 |
West Factor does not Granger Cause PCE Deflator | 0.74565 | 0.76920 | |
GDP Deflator does not Granger Cause West Factor | 136 | 2.10274 | 0.00900 |
West Factor does not Granger Cause GDP Deflator | 1.34552 | 0.17070 | |
CPI does not Granger Cause West Factor | 136 | 1.47152 | 0.11010 |
West Factor does not Granger Cause CPI | 0.83193 | 0.66980 | |
Consumer Senti. does not Granger Cause West Factor | 127 | 1.40862 | 0.14070 |
West Factor does not Granger Cause Consumer Senti. | 0.61646 | 0.89030 | |
US Leading Index does not Granger Cause West Factor | 112 | 2.38545 | 0.00390 |
West Factor does not Granger Cause US Leading Index | 0.80099 | 0.70390 | |
Long-Short Spread does not Granger Cause West Factor | 96 | 1.45107 | 0.13880 |
West Factor does not Granger Cause Long-Short Spread | 1.06616 | 0.40880 |
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