Time-varying spillovers between housing sentiment and housing market in the United States

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Authors

Andre, Christophe
Gabauer, David
Gupta, Rangan

Journal Title

Journal ISSN

Volume Title

Publisher

Elsevier

Abstract

This paper investigates spillovers between the housing sentiment index of Bork et al.(2020), common factors in US real housing returns and their volatility, GDP growth and real interest rates. We find that in contrast to spillovers from the common factor of housing returns to housing sentiment and GDP, reverse spillovers are relatively weak. This suggests that, while a shock to housing prices is likely to have a significant impact on housing sentiment and the economy, a purely exogenous shock to housing sentiment may in itself have little impact on housing returns and volatility.

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Keywords

Common housing market movements, Sentiment, Time-varying spillovers

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Citation

André, C., Gabauer, D. & Gupta, R. 2021, 'Time-varying spillovers between housing sentiment and housing market in the United States', Finance Research Letters, vol. 42, art. 101925, pp. 1-8.