?url_ver=Z39.88-2004&rft_val_fmt=info%3Aofi%2Ffmt%3Akev%3Amtx%3Adc&rft.relation=https%3A%2F%2Fpublications.ut-capitole.fr%2Fid%2Feprint%2F48402%2F&rft.title=Frictionless+house-price+momentum&rft.creator=F%C3%A8ve%2C+Patrick&rft.creator=Moura%2C+Alban&rft.subject=B-+ECONOMIE+ET+FINANCE&rft.description=This+paper+establishes+that+frictionless%2C+rational-expectations+models+driven+by+specific+ARMA(2%2C1)+forcing+processes+are+consistent+with+equilibrium+asset-price+dynamics+featuring+momentum.+To+reach+this+result%2C+we+first+document+that+AR(2)+models+adequately+capture+the+cyclical+dynamics+found+in+U.S.+house+prices%2C+in+particular+the+strong+positive+first-order+autocorrelation+in+their+first+difference.+Then%2C+we+show+analytically+that+ARMA(2%2C1)+exogenous+drivers+give+rise+to+equilibrium+AR(2)+asset-price+dynamics+in+a+simple+present-value+model.+Our+pen-and-paper+approach+yields+a+straightforward+economic+interpretation+of+the+results%2C+emphasizing+the+contribution+of+anticipated+shocks+to+generating+asset-price+momentum.+We+document+the+empirical+relevance+of+our+theoretical+results+by+estimating+the+model+from+house-price+data.+Our+findings+suggest+that+house-price+momentum+does+not+necessarily+signal+irrational+exuberance+or+strong+frictions+in+housing+markets.&rft.publisher=TSE+Working+Paper&rft.date=2023-11&rft.type=Monograph&rft.type=NonPeerReviewed&rft.format=text&rft.language=en&rft.identifier=https%3A%2F%2Fpublications.ut-capitole.fr%2Fid%2Feprint%2F48402%2F1%2Fwp_tse_1488.pdf&rft.identifier=++F%C3%A8ve%2C+Patrick+%3Chttps%3A%2F%2Fwww.idref.fr%2F080518311%3E+and+Moura%2C+Alban+%3Chttps%3A%2F%2Fwww.idref.fr%2F203794303%3E++(2023)+Frictionless+house-price+momentum.++TSE+Working+Paper%2C+n.+23-1488%2C+Toulouse+++++&rft.relation=http%3A%2F%2Ftse-fr.eu%2Fpub%2F128729&rft.language=en