Federal Reserve Bank of St. Louis
National and Regional Housing Vacancy: Insights Using Markov-switching Models
We examine housing vacancy rates over time and space using Markov-switching models. Our theoretical analysis extends a standard search and matching model for housing by incorporating regime-switching behavior and interregional spillovers. Such an approach is strongly supported by our empirical results. Our estimations allow us to examine differences in vacancy rates as well as explore the possibility of asymmetries within and across housing markets, depending on the state/regime of a given housing market. Estimated vacancy rates, conditional on the vacancy regime, vary across regions in all models. Models allowing for interregional effects tend to perform better than models lacking this feature. These models track vacancies well. Noteworthy is their performance during the Great Recession/Financial Crisis. The importance and diversity of interregional effects are demonstrated, and vacancies in a specific Census region are affected by vacancies in other regions. Moreover, the sizes of these effects depend on the vacancy state of the specific region.
Cite this item
Jeffrey P. Cohen & Cletus C. Coughlin & Jonas C. Crews, National and Regional Housing Vacancy: Insights Using Markov-switching Models, Federal Reserve Bank of St. Louis, Working Papers 2018-7, 11 May 2018.
- C24 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Truncated and Censored Models; Switching Regression Models; Threshold Regression Models
- R11 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General Regional Economics - - - Regional Economic Activity: Growth, Development, Environmental Issues, and Changes
- R31 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location - - - Housing Supply and Markets
Keywords: housing vacancy; Markov switching; search and matching; interregional spillovers
This item with handle RePEc:fip:fedlwp:2018-007
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