Related papers: Mortgage-Rate-Adjusted Home Prices
This study examines how housing sector volatilities affect real estate investment trust (REIT) equity return in the United States. I argue that unexpected changes in housing variables can be a source of aggregate housing risk, and the first…
The 2022 rise in U.S. mortgage rates increased relocation costs for homeowners with low-rate mortgages. This cost varies across destinations because each draws workers from a different mix of labor markets. We build an in-migration…
Accurate prediction of electricity prices plays an essential role in the electricity market. To reflect the uncertainty of electricity prices, price intervals are predicted. This paper proposes a novel prediction interval construction…
The vulnerability of false data injection attacks on real-time electricity pricing for the power grid market has been recently explored. Previous work has focused on the impact caused by attackers that compromise pricing signals and send…
Do home prices incorporate flood risk in the immediate aftermath of specific flood events, or is it the repeated exposure over the years that plays a more significant role? We address this question through the first systematic study of the…
We introduce a first theory of price impact in presence of an interest-rates term structure. We explain how one can formulate instantaneous and transient price impact on bonds with different maturities, including a cross price impact that…
The notion that an independent central bank reduces a country's inflation is a controversial hypothesis. To date, it has not been possible to satisfactorily answer this question because the complex macroeconomic structure that gives rise to…
We provide a theoretical framework to examine how carbon pricing policies influence inflation and to estimate the policy-driven impact on goods prices from achieving net-zero emissions. Firms control emissions by adjusting production,…
This study examines how congestion pricing shapes housing market outcomes and spatial equity in New York City. Using high-frequency sales and rental data and a combination of propensity score matching difference-in-differences, geographic…
Accurate prediction of house price, a vital aspect of the residential real estate sector, is of substantial interest for a wide range of stakeholders. However, predicting house prices is a complex task due to the significant variability…
When an individual purchases a home, they simultaneously purchase its structural features, its accessibility to work, and the neighborhood amenities. Some amenities, such as air quality, are measurable while others, such as the prestige or…
We propose a sequential monitoring scheme to find structural breaks in real estate markets. The changes in the real estate prices are modeled by a combination of linear and autoregressive terms. The monitoring scheme is based on a detector…
With costs and risks increasing for investors and home buyers alike, additional analysis of the housing market is required to help individuals make the right choice. In addition to traditional market analysis, other aspects such as the…
I studied the convergence of regional house prices to national prices in USA by analyzing time-series of house price indices of 9 Census Divisions. I found the evidence of the convergence in some parts of the country using asymmetric unit…
We analyze recently proposed mortgage contracts that aim to eliminate selective borrower default when the loan balance exceeds the house price (the ``underwater'' effect). We show contracts that automatically reduce the outstanding balance…
The possibility that price dynamics is affected by its distance from a moving average has been recently introduced as new statistical tool. The purpose is to identify the tendency of the price dynamics to be attractive or repulsive with…
What causes house prices to rise and fall? Economists identify household access to credit as a crucial factor. "Loan-to-Value" and "Debt-to-GDP" ratios are the standard measures for credit access. However, these measures fail to explain the…
Prepayment risk embedded in fixed-rate mortgages forms a significant fraction of a financial institution's exposure, and it receives particular attention because of the magnitude of the underlying market. The embedded prepayment option…
We develop a stochastic free-boundary model of housing tenure decisions in markets with high mobility risk, such as areas near military installations. Housing prices and rents follow correlated diffusion processes, and households face an…
We construct an utility-based dynamic asset pricing model for a limit order market. The price is nonlinear in volume and subject to market impact. We solve an optimal hedging problem under the market impact and derive the dynamics of the…