Research Interests
Macroeconomics & Monetary Policy, Housing, Finance, Time Series Econometrics
Publications
Predicting Turning Points in the Housing Market with Don Haurin (Forthcoming in the Journal of Housing Economics)
Abstract: The focus of this paper is identifying leading indicators of change in the housing market and comparing their performance in predicting turning points. Being able to predict turning points is of importance to the home building industry, homeowners, and makers of housing policy. Our leading indicators include the Housing Market Index, two of its forward-looking components, and an index of consumer sentiment about purchasing homes. Our comparison tests include Granger causality and Bayesian prediction of the probability of a turning point. We find that the measure of consumer sentiment performs relatively well compared to the HMI in predicting building permits, housing starts, and new home sales.
Working Papers
Monetary Policy and the Housing Cycle (Comments are welcomed)
Abstract: This is a primer for a longer paper I'm writing about how monetary policy 1997-2007 may have contributed to the large (but not unprecedented) volatility in housing prices and investment after 2000. I demonstrate that a simple model of housing starts does much better if housing prices are included and argue that models not including price are missing a major part of the story. Further, such models are subject to the Lucas Critique. I write a model in the spirit of Christiano, Eichenbaum, and Evans (2005 JPE) that breaks out residential and nonresidential investment separately. I estimate a VAR and fit the model responses to those of the VAR. The primer stops here, but my current work includes examining monetary policy that may have better stabilized the model economy.
Monetary Policy and the Housing Cycle (Comments are welcomed)
Abstract: This is the full version of the above.
House Price Trends with Don Haurin (Presented at the Housing Policy Symposium: U.C. Irvine Feb 19-20 2009)
Abstract: From 1970 through the mid 1990s, changes in real house prices were relatively small. The changes that did occur were linked to changes in the macroeconomic cycle and to interest rates. Wheaton and Nechayev document that changes in these fundamental factors and population explained house price movements during this time. However they find that their statistical model of MSA-level house prices greatly underpredicts real house price changes from 1999 through 2005. After 2006, real house prices declined and house prices are converging on their model's predicted values. We address the expected path of real house prices 2009-2011.
Slides from Presentation
Other
A Primer on Stochastic Differential Equations in Finance
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