eprintid: 48402
rev_number: 6
eprint_status: archive
userid: 1482
importid: 105
dir: disk0/00/04/84/02
datestamp: 2023-11-29 08:39:50
lastmod: 2023-11-29 08:39:50
status_changed: 2023-11-29 08:39:50
type: monograph
metadata_visibility: show
creators_name: Fève, Patrick
creators_name: Moura, Alban
creators_idrefppn: 080518311
creators_idrefppn: 203794303
creators_affiliation: Toulouse School of Economics
creators_affiliation: Banque centrale du Luxembourg
creators_halaffid: 1002422
title: Frictionless house-price momentum
ispublished: pub
subjects: subjects_ECO
abstract: This paper establishes that frictionless, rational-expectations models driven by specific ARMA(2,1) forcing processes are consistent with equilibrium asset-price dynamics featuring momentum. To reach this result, we first document that AR(2) models adequately capture the cyclical dynamics found in U.S. house prices, in particular the strong positive first-order autocorrelation in their first difference. Then, we show analytically that ARMA(2,1) 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, 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.
date: 2023-11
date_type: published
publisher: TSE Working Paper
official_url: http://tse-fr.eu/pub/128729
faculty: tse
divisions: tse
keywords: house prices
keywords: momentum
keywords: AR(2) process
keywords: rational expectations
keywords: news shocks
language: en
has_fulltext: TRUE
subjectsJEL: JEL_C32
subjectsJEL: JEL_E32
subjectsJEL: JEL_G12
view_date_year: 2023
full_text_status: public
monograph_type: working_paper
series: TSE Working Paper
volume: 23-1488
place_of_pub: Toulouse
pages: 34
institution: Université Toulouse Capitole
department: Toulouse School of Economics
book_title: TSE Working Paper
oai_identifier: oai:tse-fr.eu:128729
harvester_local_overwrite: department
harvester_local_overwrite: pending
harvester_local_overwrite: creators_idrefppn
harvester_local_overwrite: creators_halaffid
harvester_local_overwrite: institution
harvester_local_overwrite: place_of_pub
harvester_local_overwrite: pages
oai_lastmod: 2023-11-23T08:06:19Z
oai_set: tse
site: ut1
citation:   Fève, Patrick <https://www.idref.fr/080518311> and Moura, Alban <https://www.idref.fr/203794303>  (2023) Frictionless house-price momentum.  TSE Working Paper, n. 23-1488, Toulouse     
document_url: https://publications.ut-capitole.fr/id/eprint/48402/1/wp_tse_1488.pdf