Related papers: Mortgage-Rate-Adjusted Home Prices
We investigate whether pandemic-induced contagion disamenities and income effects arising due to COVID-related unemployment adversely affected real estate prices of one- or two-family owner-occupied properties across New York City (NYC).…
The US housing market exhibits pronounced seasonal cycles: prices and sales rise through spring, peak in summer, and decline through autumn and winter. Since 2021, this pattern has shifted earlier in the calendar year, with spring…
We consider a financial market in which traders potentially face restrictions in trading some of the available securities. Traders are heterogeneous with respect to their beliefs and risk profiles, and the market is assumed thin: traders…
Debt recycling is a leveraged equity management strategy in which homeowners use accumulated home equity to finance investments, applying the resulting returns to accelerate mortgage repayment. We propose a novel framework to model equity…
We consider a dynamic pricing problem where customer response to the current price is impacted by the customer price expectation, aka reference price. We study a simple and novel reference price mechanism where reference price is the…
In this paper, we assess whether using non-linear dimension reduction techniques pays off for forecasting inflation in real-time. Several recent methods from the machine learning literature are adopted to map a large dimensional dataset…
We develop a deep learning model of multi-period mortgage risk and use it to analyze an unprecedented dataset of origination and monthly performance records for over 120 million mortgages originated across the US between 1995 and 2014. Our…
This paper presents a capacity-constrained incentive-based demand response approach for residential smart grids. It aims to maintain electricity grid capacity limits and prevent congestion by financially incentivising end users to reduce or…
Urban scaling laws summarize how urban attributes evolve with city size. Recent criticism questions notably the aggregate view of this approach, which leads to neglecting the internal structure of cities. This is all the more relevant for…
Predicting the price of a house remains a challenging issue that needs to be addressed. Research has attempted to establish a model with different methods and algorithms to predict the housing price, from the traditional hedonic model to a…
In recent years several complaints about racial discrimination in appraising home values have been accumulating. For several decades, to estimate the sale price of the residential properties, appraisers have been walking through the…
We argue that a negative interest rate policy (NIRP) can be an effect tool for macroeconomic stabilization. We first discuss how implementing negative rates on reserves held at a central bank does not pose any theoretical difficulty, with a…
The adoption of a "makeup" strategy is one of the proposals in the ongoing review of the Fed's monetary policy framework. Another suggestion, to avoid the zero lower bound, is a more active role for fiscal policy. We put together these…
House price increases have been steady over much of the last 40 years, but there have been occasional declines, most notably in the recent housing bust that started around 2007, on the heels of the preceding housing bubble. We introduce a…
This paper investigates the determinants of home prices in Dana Point, California to analyze various factors influencing the real estate market. The results are based on a cross-sectional dataset that incorporates year and month-time…
Prior research in psychology has found that people's decisions are often inconsistent. An individual's decisions vary across time, and decisions vary even more across people. Inconsistencies have been identified not only in subjective…
The paper proposes a framework for modeling and analysis of the dynamics of supply, demand, and clearing prices in power system with real-time retail pricing and information asymmetry. Real-time retail pricing is characterized by passing on…
This paper uses new and recently introduced mathematical techniques to undertake a data-driven study on the systemic nature of global inflation. We start by investigating country CPI inflation over the past 70 years. There, we highlight the…
In this chapter we review some recent results on the dynamics of price formation in financial markets and its relations with the efficient market hypothesis. Specifically, we present the limit order book mechanism for markets and we…
In this paper we explore optimal liquidation in a market populated by a number of heterogeneous market makers that have limited inventory-carrying and risk-bearing capacity. We derive a reduced form model for the dynamic of their aggregated…