The Evolution of National and Regional Factors in U.S. Housing Construction

DSpace/Manakin Repository

The Evolution of National and Regional Factors in U.S. Housing Construction

Citable link to this page

 

 
Title: The Evolution of National and Regional Factors in U.S. Housing Construction
Author: Stock, James H.; Watson, Mark

Note: Order does not necessarily reflect citation order of authors.

Citation: Stock J, Watson M. 2008. "The Evolution of National and Regional Factors in U.S. Housing Construction." Volatility and Time Series Econometrics: Essays in Honor of Robert F. Engle, eds. Bollerslev T, Russell J, Watson M. Oxford: Oxford University Press.
Full Text & Related Files:
Abstract: This paper presents and describes a newly available data set on monthly building permits for U.S. states from 1969-2007. These data are used to estimate regions of common housing construction activity. Building permits exhibit substantial comovement across states, and these comovements are modeled as being associated with a national factor, a regional factor, and a state-specific disturbance. When stochastic volatility is added to this state building permit dynamic factor model, the decline in the volatility in state permits is found to be associated with a sharp decline in the mid-1980s in the volatility of the national factor and with a slow, steady decline in the volatility of the state-specific component, with these two sources contributing approximately equally for a typical state. The timing of the sharp reduction in volatility of the national component coincides with break dates previously identified for the Great Moderation in U.S. economic activity.
Published Version: doi:10.1093/acprof:oso/9780199549498.003.0003
Terms of Use: This article is made available under the terms and conditions applicable to Open Access Policy Articles, as set forth at http://nrs.harvard.edu/urn-3:HUL.InstRepos:dash.current.terms-of-use#OAP
Citable link to this page: http://nrs.harvard.edu/urn-3:HUL.InstRepos:28468706
Downloads of this work:

Show full Dublin Core record

This item appears in the following Collection(s)

 
 

Search DASH


Advanced Search
 
 

Submitters