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Essays in Housing Markets.

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Essays in Housing Markets./
作者:	Kotova, Nadezda Andreevna.
出版者:	Ann Arbor : ProQuest Dissertations & Theses, : 2021,
面頁冊數:	186 p.
附註:	Source: Dissertations Abstracts International, Volume: 83-09, Section: A.
Contained By:	Dissertations Abstracts International83-09A.
標題:	Seasonal variations. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=29003835
ISBN:	9798209785026

Essays in Housing Markets.
Kotova, Nadezda Andreevna.

Essays in Housing Markets. - Ann Arbor : ProQuest Dissertations & Theses, 2021 - 186 p.

Source: Dissertations Abstracts International, Volume: 83-09, Section: A.

Thesis (Ph.D.)--Stanford University, 2021.

This item must not be sold to any third party vendors.

This dissertation studies ineciencies and riskiness in the US housing market.In Chapter I, coauthored with Anthony Lee Zhang, we study liquidity in residential real estate markets. We build a rich panel dataset tracking two housing market liquidity measures: timeon-market and idiosyncratic price dispersion. We show that the two measures co-vary closely at seasonal and business-cycle frequencies, but there is substantial independent variation in the crosssection of counties. This observation suggests that time-on-market and price dispersion measure di↵erent aspects of liquidity. We build a search-and-bargaining model of the housing market and show that time-on-market and price dispersion arise as equilibrium outcomes from a supply and demand system for liquidity. Increases in liquidity supply cause both measures to decrease. Increases in liquidity demand cause time-on-market to decrease, but price dispersion to increase. Consistent with the model's predictions, proxies for liquidity supply are negatively correlated with both liquidity measures in the data, whereas a proxy for liquidity demand is negatively correlated with time-onmarket but positively correlated with price dispersion.In Chapter II, coauthored with Zi Yang Kang, we study how the quality of goods traded in a market evolves in the presence of predictable cyclical changes in market conditions. We document a set of novel stylized facts about the US housing market. We show that housing markets of better neighborhoods are more seasonal and higher quality houses are more likely to be traded in summer when housing markets are hot. We then consider a choice problem of a seller who owns an asset with perfectly observable quality who must decide whether to enter the market now or wait for the market conditions to improve. We assume that changes in market conditions are cyclical and perfectly predictable, but market participation is costly, and the cost depends on the seller's type. The quality of sellers who choose to enter the market fluctuates in response to cyclical changes in market conditions. We characterize conditions under which each seller type strategically decides to enter or delay entering the market.In Chapter III, I argue that industrial concentration increases the exposure of local areas to industry-specific risk. Industrial concentration, therefore, creates risk concentration through amplified pass-through of industry-specific productivity shocks into local wages, local employment, and prices of local assets. Empirically, I show that industrial concentration increases year-to-year volatility of local wages, employment, and house prices. Next, I document that more specialized MSAs are more likely to experience large positive or negative shocks at decadal frequencies. Finally, I conduct case studies of persistent industry-specific shocks to further demonstrate the large pass-through of these shocks into house prices.

ISBN: 9798209785026Subjects--Topical Terms:

3682600
Seasonal variations.

Essays in Housing Markets.
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520 $a This dissertation studies ineciencies and riskiness in the US housing market.In Chapter I, coauthored with Anthony Lee Zhang, we study liquidity in residential real estate markets. We build a rich panel dataset tracking two housing market liquidity measures: timeon-market and idiosyncratic price dispersion. We show that the two measures co-vary closely at seasonal and business-cycle frequencies, but there is substantial independent variation in the crosssection of counties. This observation suggests that time-on-market and price dispersion measure di↵erent aspects of liquidity. We build a search-and-bargaining model of the housing market and show that time-on-market and price dispersion arise as equilibrium outcomes from a supply and demand system for liquidity. Increases in liquidity supply cause both measures to decrease. Increases in liquidity demand cause time-on-market to decrease, but price dispersion to increase. Consistent with the model's predictions, proxies for liquidity supply are negatively correlated with both liquidity measures in the data, whereas a proxy for liquidity demand is negatively correlated with time-onmarket but positively correlated with price dispersion.In Chapter II, coauthored with Zi Yang Kang, we study how the quality of goods traded in a market evolves in the presence of predictable cyclical changes in market conditions. We document a set of novel stylized facts about the US housing market. We show that housing markets of better neighborhoods are more seasonal and higher quality houses are more likely to be traded in summer when housing markets are hot. We then consider a choice problem of a seller who owns an asset with perfectly observable quality who must decide whether to enter the market now or wait for the market conditions to improve. We assume that changes in market conditions are cyclical and perfectly predictable, but market participation is costly, and the cost depends on the seller's type. The quality of sellers who choose to enter the market fluctuates in response to cyclical changes in market conditions. We characterize conditions under which each seller type strategically decides to enter or delay entering the market.In Chapter III, I argue that industrial concentration increases the exposure of local areas to industry-specific risk. Industrial concentration, therefore, creates risk concentration through amplified pass-through of industry-specific productivity shocks into local wages, local employment, and prices of local assets. Empirically, I show that industrial concentration increases year-to-year volatility of local wages, employment, and house prices. Next, I document that more specialized MSAs are more likely to experience large positive or negative shocks at decadal frequencies. Finally, I conduct case studies of persistent industry-specific shocks to further demonstrate the large pass-through of these shocks into house prices.
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