Housing
Through the Roof: An analytical and empirical toolkit for housing and real estate economics from global to local markets, with an emphasis on housing price determination and detection/monitoring of deviations from fundamental-based behavior. Based on the on-going work at the Federal Reserve Bank of Dallas' International House Price Database (IHPD) and at the International Housing Observatory.
I would appreciate that anyone wishing to employ the dataset described and utilized in this research, modified or otherwise, acknowledge the International House Price Database (IHPD) as its source with a citation of the working paper: for example, including a statement such as, “The authors acknowledge use of the dataset described in Mack and Martínez-García (2011).” The accompanying bibliographical citation would be
Mack, A., and E. Martínez-García. 2011. "A Cross-Country Quarterly Database of Real House Prices: A Methodological Note." Globalization and Monetary Policy Institute Working Paper No. 99, Federal Reserve Bank of Dallas (Revised with V. Grossman: January 2019).
I recommend including the date when the database was consulted, as data are subject to revisions.
Those using the exuberance indicators should also cite the following paper(s) as a source:
Pavlidis, E., A. Yusupova, I. Paya, D. Peel, E. Martínez-García, A. Mack, and V. Grossman. 2016. “Episodes of Exuberance in Housing Markets: In Search of the Smoking Gun.” The Journal of Real Estate Finance and Economics, Vol. 53(4), pp. 419–449.
"exuber: Recursive Right-Tailed Unit Root Testing with R" (with Kostas Vasilopoulos and Efthymios Pavlidis), Journal of Statistical Software, Vol. 103(10), pp. 1-26, 2022. A working paper version of this article appeared as Globalization and Monetary Policy Institute Working Paper no. 383, May 2020 (Revision: October 2021)
Software: exuber: Econometric Analysis of Explosive Time Series (R package with Kostas Vasilopoulos and Efthymios Pavlidis) and intro to exuber (with Kostas Vasilopoulos, Efthymios Pavlidis, and Simon Spavound)
Research Publications
"exuber: Recursive Right-Tailed Unit Root Testing with R" (with Kostas Vasilopoulos and Efthymios Pavlidis), Journal of Statistical Software, Vol. 103 (10), pp. 1-26, 2022. A working paper version of this article appeared as Globalization and Monetary Policy Institute Working Paper no. 383, May 2020 (Revision: October 2021)
Software: exuber: Econometric Analysis of Explosive Time Series (R package with Kostas Vasilopoulos and Efthymios Pavlidis) and intro to exuber (with Kostas Vasilopoulos, Efthymios Pavlidis, and Simon Spavound)
"Explosive Dynamics in House Prices? An Exploration of Financial Market Spillovers in Housing Markets Around the World" (with Valerie Grossman), Journal of International Money and Finance, Vol. 101(March), 2020. A working paper version of this article appeared as Globalization and Monetary Policy Institute Working Paper no. 342, July 2018 (Revised September 2018)
Read coverage of this work from the Wall Street Journal (January 27, 2020)
"Drilling Down: The Impact of Oil Price Shocks on Housing Prices" (with Valerie Grossman, Luis Bernardo Torres, and Yongzhi Sun), The Energy Journal, Vol. 40 (SI1), 2019. A working paper version of this article appeared as Globalization and Monetary Policy Institute Working Paper no. 369, September 2019
"Detecting Periods of Exuberance: A Look at the Role of Aggregation with an Application to House Prices" (with Efthymios Pavlidis and Valerie Grossman), Economic Modelling, Vol. 80(August), pp. 87-102, 2019. A working paper version of this article appeared as Globalization and Monetary Policy Institute Working Paper no. 325, August 2017 (Revised July 2018)
exuber: Econometric Analysis of Explosive Time Series (R package with Kostas Vasilopoulos and Efthymios Pavlidis) and intro to exuber (with Kostas Vasilopoulos, Efthymios Pavlidis, and Simon Spavound)
Video presentation of the paper 'Detecting Periods of Exuberance: A Look at the Role of Aggregation with an Application to House Prices' (with Valerie Grossman), Federal Reserve Bank of Dallas, August 18, 2017
Read coverage of this work from Bloomberg (October 19, 2017)
"Episodes of Exuberance in Housing Markets: In Search of the Smoking Gun" (with Efthymios Pavlidis, Alisa Yusupova, Ivan Paya, David Peel, Adrienne Mack, and Valerie Grossman), The Journal of Real Estate Finance and Economics, Vol. 53(4), pp. 419-449, 2016. A working paper version of this article appeared as Globalization and Monetary Policy Institute Working Paper no. 165, December 2013 (Revised June 2015)
exuber: Econometric Analysis of Explosive Time Series (R package with Kostas Vasilopoulos and Efthymios Pavlidis) and intro to exuber (with Kostas Vasilopoulos, Efthymios Pavlidis, and Simon Spavound)
Presentation of the paper 'Monitoring Housing Markets for Episodes of Exuberance' (with Efthymios Pavlidis), Federal Reserve Bank of Dallas, November 15, 2013
Read coverage of this work from the Wall Street Journal Blog: Real Time Economics (January 17, 2014) and from BetterDwelling.com (October 27, 2017)
Working Papers
"On the Nexus of Monetary Policy and Financial Stability: Novel Asset Market Monitoring Tools for Building Economic Resilience and Mitigating Financial Risks" (with Valerie Grossman and Lauren Spits), Globalization and Monetary Policy Institute Working Paper no. 421, June 2023
"A Cross-Country Quarterly Database of Real House Prices: A Methodological Note" (with Adrienne Mack and Valerie Grossman), Globalization and Monetary Policy Institute Working Paper no. 99, December 2011 (Revised: January 2019)
International House Price Database of the Federal Reserve Bank of Dallas
IEO/IMF (Independent Evaluation Office of the International Monetary Fund) Virtual Seminar June 24, 2021: "The Global Real Estate Boom: Is it Time to Worry Again?"
Federal Reserve System Publications
"Russia’s War on Ukraine Will Leave Scars on U.S., World Economies" (with Jarod Coulter), Dallas Fed Economics Blog, May 17, 2022
"Real-Time Market Monitoring Finds Signs of Brewing U.S. Housing Bubble" (with Jarod Coulter, Valerie Grossman, Peter C.B. Phillips, and Shuping Shi), Dallas Fed Economics Blog, March 29, 2022
Media and online coverage (some of it anyway): CNN, CBS, Sunday Today with Willie Geist (NBC), NPR, Bloomberg, Fortune here and here, USA Today, Dallas Morning News, Forbes, CGTN, Yahoo Finance here and here, Housing Wire Daily, Allsides, Seeking Alpha, local news (Salt Lake City here and here, Nashville, Jacksonville), and Youtube (here, here, here, here, here, here, here, here, here, here, and here, among others).
"Taking the Global Housing Market’s Temperature: Is It Running a Fever (Again)?" (with Jarod Coulter, Valerie Grossman, Efthymios Pavlidis, Kostas Vasilopoulos, and Iván Payá), Dallas Fed Economics Blog, September 28, 2021
"Go Figure: Texas Home Prices Head Through the Roof" (with Valerie Grossman), Federal Reserve Bank of Dallas Southwest Economy, Vol. 18, No. 01, First Quarter 2018
"Increased Real House Price Volatility Signals Break from Great Moderation" (with Adrienne Mack), Federal Reserve Bank of Dallas Economic Letter, Vol. 7, No. 1, January 2012
Other Publications
"Room to Grow: Housing for a New Economy", IMF's Global Housing Watch Newsletter, March 2020
Re-posted as a LinkedIn article
"Oil Change: Fueling Housing and Land Prices?" (with Valerie Grossman, Yongzhi Sun, and Luis B. Torres), Journal of the Real Estate Center at Texas A&M University Tierra Grande, Vol. 24, October 2017
"Global and Local Housing Markets: The View From Experts at the Dallas FED" (with Valerie Grossman), interviewed by Hites Ahir, IMF's Global Housing Watch Newsletter, August 2016
"Curb Your Enthusiasm: Keeping an Eye on Home Prices" (with Valerie Grossman and Luis B. Torres), Journal of the Real Estate Center at Texas A&M University Tierra Grande, Vol. 23, July 2016
U.S. Real House Prices by MSA (%, YOY): Release for 2017:m12
Source: Freddie Mac; U.S. Bureau of Labor Statistics; author's calculations.