期刊詳細資料 Journal detailed information  
作者(Author)MeiChi Huang
篇名(Article title)Forecasts and Implications of the Current Housing crisis: Switching Regimes in a Threshold Framework
期刊名(Journal name)Applied Economics Letters
國際期刊(International Journal)SSCI
中文摘要(Abstrct)
ABSTRCTThis article aims to explore the implications of the recent housing crisis from a forward-looking perspective in the form of the two-regime switching phenomena under a Threshold Autoregressive (TAR) model. Three categories of thresholds, which are housing prices, housing volumes and price-to-income ratios, are adopted in an attempt to examine the US statelevel housing market cycles in multiple dimensions. In general, while lagged differenced thresholds fail to capture the recent housing boom-and-bust regime switching, moving-average thresholds succeed in signalling a housing crisis in many states. The regime-switching autoregressive structures show that housing price cycle has remarkable series dependence, and the housing volume cycle tends to show a mean-reversion pattern. Most importantly, only four states, Arizona, California, Florida and Nevada, display the bust regime of housing price growth during 2006 to 2010. The price-over-income also indicates that less than five states have significant two switching regimes. Otherwise, most states exhibit low-growth regime of housing permits, implying a nationwide housing volume cycle during the current housing crisis. The forecasting system provides a helpful guideline for policy-making of the government as well as household decisions of consumption and investment.
中文關鍵字(Keyword)
KEYWORD
卷期(Volume No)Vol. 19 No. 6
頁數(Page number)pp. 557~568
年份(Year)2012
語言(Language)英文 English