On the Price Comovement of U.S. Residential Real Estate Markets

On the Price Comovement of U.S. Residential Real Estate Markets

We investigate the comovement among Case-Shiller Home Price Indices for 14 metropolitan areas between 1992 and 2008. We define the portion of this comovement deemed as fundamental (excessive) as the covariation that can (cannot) be attributed to common fundamental factors directly influencing real estate prices. We find that i) comovement among these markets considerably increased over the samp...

Price Formation and the Appraisal Function in Real Estate Markets

A real estate market model characterized by incomplete information, costly search, and varying expectations is presented. The model describes a self-selection process for market participants and a distribution of transaction prices. These transaction prices, which arise from a Nash equilibrium, can be expressed as a noisy signal, reflecting incomplete information as well as the conditions of sa...

Dynamic Matching Markets and An Application to Residential Real Estate

In the residential real estate market, sellers arrive dynamically over time to put their units up for sale. These assets may differ in their attributes, including location, size, style, acreage, etc. Sellers themselves differ in their own financial constraints, carrying costs, and their delay tolerances, i.e., how long they are willing to wait until they sell their unit. Buyers arrive dynamical...

The Effect of Air Pollution on Real-Estate Price in Tehran

This paper investigates the effect of air pollution on real-estate price in Tehran for the period (2013-14) and (2018-19). By combining microdata of real-estate transactions for more than 50,000 units that are traded multiple times during the period of study, the pollution index is constructed for each house by using the air pollution index from various stations in Tehran. Using this dataset, t...

Bubbles in Real Estate Markets