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- Title
DOES INTEREST RATE VOLATILITY AFFECT THE US DEMAND FOR HOUSING? EVIDENCE FROM THE AUTOREGRESSIVE DISTRIBUTED LAG METHOD.
- Authors
CHOUDHRY, TAUFIQ
- Abstract
This paper investigates empirically the effects of real interest rate volatility on demand for total housing and new housing in the USA. The investigation looks at monthly data from 1975 to 2006 using the autoregressive distributed lag bounds testing approach to co-integration and the Hendry 'general-to-specific' causality test. Three different real rates are applied: mortgage, long term and short term. The results indicate a long-run equilibrium relationship between housing demand and its determinants including interest rate volatility. Results from the causality test indicate housing demand determinants (including interest rate volatility) cause demand for both total and new housing in the long run.
- Subjects
UNITED States; INTEREST rates; MARKET volatility; ECONOMIC demand; AUTOREGRESSION (Statistics); DISTRIBUTED lags (Economics); HOUSING; EMPIRICAL Research &; Social Work (Book)
- Publication
Manchester School (1463-6786), 2010, Vol 78, Issue 4, p326
- ISSN
1463-6786
- Publication type
Article
- DOI
10.1111/j.1467-9957.2009.02141.x