U.S. House Prices by Census Division: Persistence, Trends and Structural Breaks

Abstract This paper uses fractional integration methods to examine persistence, trends and structural breaks in United States house prices, more specifically the monthly Federal Housing Finance Agency House Price Index for census divisions, as a whole over period from January 1991 August 2022. The full sample estimates imply that order of series is above one all cases, particularly high aggregate series, implying levels persistence. However, when possibility taken into account, segmented are detected. subsample differencing parameter tend be lower, with mean reversion occurring number cases. means shocks expected transitory these subsamples, disappearing long run by themselves. In addition, time trend coefficient at its highest last subsample, which most cases starts around May 2020 coincident beginning coronavirus pandemic. results provide clear evidence differences between implies appropriate housing policies should designed local (rather than federal) level.