Is there a national housing market bubble brewing in the United States?

Abstract We use a time-varying parameter dynamic factor model with stochastic volatility estimated using Bayesian methods to disentangle the relative importance of common component in Federal Housing Finance Agency house price movements from state-specific shocks, over quarterly period 1975Q2 2017Q4. find that contribution national explaining fluctuations prices is critical. then change-point vector autoregressive allows for different regimes throughout sample period, study impact aggregate supply, demand, (conventional) monetary policy, and term-spread identified based on sign restrictions movements. While policy other shocks are found be quite dominant early on, we evidence has been detached macroeconomic since 2014, thus suggesting “national bubble” might brewing again US housing market.