<abstract xmlns="http://www.w3.org/1999/xhtml"><p>The objective of this paper is to investigate how the housing market and credit market factors contribute to US business and interest rate cycles in a time-varying transition probability modeling framework. The Markov switching results appear to exhibit periods of low-growth regime and highgrowth regime for both house and credit markets. The study also shows that the transition probabilities reflecting the regime switching behavior of business and interest rate cycles vary over time as functions of the house and credit market. We find that both the housing market and credit market contribute to whether the economy remains in a high-growth regime or moves into lowgrowth regime, and whether the interest rates remain in a low or high-growth regime. The results show that the housing market plays a leading role in affecting the time-varying probabilities between regimes for the business and interest rate cycles.</p></abstract>

The objective of this paper is to investigate how the housing market and credit market factors contribute to US business and interest rate cycles in a time-varying transition probability modeling framework. The Markov switching results appear to exhibit periods of low-growth regime and highgrowth regime for both house and credit markets. The study also shows that the transition probabilities reflecting the regime switching behavior of business and interest rate cycles vary over time as functions of the house and credit market. We find that both the housing market and credit market contribute to whether the economy remains in a high-growth regime or moves into lowgrowth regime, and whether the interest rates remain in a low or high-growth regime. The results show that the housing market plays a leading role in affecting the time-varying probabilities between regimes for the business and interest rate cycles.

Time-Varying Housing Market Fluctuations: Evidence from the U.S. Housing Market

Faculty of Economics and Administrative Sciences

Real Estate Management and Valuation

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.

{"article-title":"Time-Varying Housing Market Fluctuations: Evidence from the U.S. Housing Market"}

The objective of this paper is to investigate how the housing market and credit market factors contribute to US business and interest rate cycles in a...

Time-Varying Housing Market Fluctuations: Evidence from the U.S. Housing Market

Published Online: Jun 22, 2020

Page range: 89 - 99

DOI: https://doi.org/10.1515/remav-2020-0018

Keywords
business cycles, housing market, Markov Switching, interest rate

© 2020 Dicle Ozdemir, published by Sciendo

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.

Time-Varying Housing Market Fluctuations: Evidence from the U.S. Housing Market

Published Online: Jun 22, 2020

Page range: 89 - 99

DOI: https://doi.org/10.1515/remav-2020-0018

Keywordsbusiness cycles, housing market, Markov Switching, interest rate

© 2020 Dicle Ozdemir, published by Sciendo

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.

Keywords
business cycles, housing market, Markov Switching, interest rate