اثرات ثروت بر بازار مسکن : آیا نقدینگی بازار و حالت های بازار مهم است؟

This paper analyzes the effect of household wealth (including housing and financial wealth) on housing sales and probes their long-run and short-run dynamic relationships. We further examine the short-run effect of financial wealth on housing sales by employing quantile regressions, restricted upon different liquidity (quantile) levels and up-down housing markets, from which the differences between the early and late stages of an uptrend/downtrend can be respectively exhibited. We find that housing wealth, income, and mortgage rates have long-run influences on housing sales. Looking at the short run, we find that housing sales only respond to housing wealth and mortgage rates. When we distinguish the effects of financial wealth on housing sales in up-down housing markets, we note a positive influence of financial wealth on housing sales in down markets, but not in up markets. Particularly, our results show an impact of housing liquidity on the short-run relationships.

After the subprime mortgage crisis and the global financial crisis that started from about mid-2007, U.S. households have significantly cut consumption due to their shrinking wealth. From 2007 Q3 to 2009 Q1, sales of U.S. single-family new homes presented a noticeable severe drop of over 80%. People cut back on consuming non-necessary or high-priced commodities due to their curtailed wealth. Previous studies on housing support the positive linkage between housing sales and housing prices. Stein (1995) explains that a cut in housing prices weakens the ability at making downpayments and even obstructs people from buying a new home. Genesove and Mayer (2001) demonstrate a positive relation from the loss-aversion perspective. The condition of decreasing housing prices drives sellers to be averse from selling homes. Differentially, this paper focuses on the relationship between housing sales and households' wealth (including housing and financial wealth), employing a quantile regression with an error–correction model. The quantile regression allows us to examine across various distributions of a dependent variable.1 In particular, the application of quantile regressions in this paper allows us to consider the importance of liquidity in housing markets. Limited studies exist in the literature examining the impact of housing liquidity levels on the relationship between housing trading volumes and housing wealth. Many recent studies (e.g., Benjamin et al., 2004, Cai and Ge, 2012 and Case et al., 2005) discuss the effects of housing and financial wealth on consumption. Most evidence supports that the positive impact of housing wealth on consumption is larger than the impact of financial wealth. Yet, what about the impacts on durable assets, e.g. homes, arising from changes in household wealth?2 This paper examines the effects of housing and financial wealth on housing sales, linked to the downpayment effect (Stein, 1995). Our findings shed light on the linkage between changes in households' wealth and the sale of houses, so that builders can appropriately adjust their supply of new homes. Most financial wealth includes equities, mutual funds, life insurance reserves, etc. Households' financial wealth (or other non-housing wealth) sometimes is used to pay housing downpayments. Therefore, some studies – such as Ioannides (1989) and King and Leape (1998), for example – suggest a negative relationship between mortgage debt and non-housing wealth. Their findings support that changes in non-housing wealth should be related to sales of houses. In fact, many studies further discuss the linkage between housing and stock markets (e.g., Chen et al., 2012, Lee et al., 2012 and Lu et al., 2007). Essentially, the wealth effect links the relationship between changes in wealth and people's consumption, and it therefore affects economic developments. Among all commodities or assets, housing sales play an important role upon economic prosperity. Another important discussion of this paper is to investigate the impacts of market liquidity and market states on the relationship between housing sales and financial wealth. The purchase of a house entails paying a lot of money for downpayments. According to the theoretic framework in Stein (1995), the outstanding debts of families are linked to the excess demand of houses. Therefore, any additional gained wealth from financial markets could curtail their debts and increase the purchases of houses. The conditions of liquidity and states of housing markets affect the selling of old houses. On the other hand, up and down housing markets can raise asymmetric effects. For example, Clayton et al. (2008) find an asymmetric effect in which decreases in prices reduce trading volume, but increases in prices have no effect. In fact, there exist much evidence showing an asymmetric effect during cycles (e.g., business cycles, up-down stock market cycles; see, for example, Chang and Tzeng, 2011, Mascarenhas and Aaker, 1989, Perez-Quiros and Timmermann, 2001 and Romer, 1996). This paper examines the effect of financial wealth on housing sales, aiming at not only the difference between uptrends and downtrends of housing markets, but also the difference between early and late stages of an uptrend (or downtrend).3 To the best of our knowledge, most studies focus on the responses of mortgage debt with respect to changes in non-housing wealth. This paper instead directly explores the responses of housing sales with respect to housing and financial wealth, including long-run and short-run dynamic effects.4 We apply quarterly data of single-family homes in the U.S., as such data allow us to directly observe the effective results for the influence of housing and financial wealth on housing sales (not as responses from mortgage debt) and present results that correspond well to household wealth via quantile regressions5 (Koenker and Bassett, 1978). Compared with previous studies, such as Ioannides (1989) and Jones (1994) analyzing with a OLS model, and Moriizumi (2000) applying the Tobit estimation method for avoiding selectivity bias, a quantile regression model not only can solve the heteroscedasticity, selectivity bias, but also allows us to analyze the importance of housing liquidity. According to our empirical results, except for financial wealth, housing sales have a statistically significant long-run cointegration relationship with housing wealth, income, and housing mortgage rates. Housing wealth has a positive permanent effect on housing sales. However, the long-run effects of income and mortgage rates on housing sales are negative.6 In examining the short-run dynamic relationships, we offer the following findings. First, changes in income per capita do not influence changes in housing sales in the short-run relationship, whereas changes in mortgage rates do. Significantly, the short-term changes in income have no influence on housing sales, although income does have a long-term effect on housing sales in our cointegration examination. Second, mortgage rates still have a negative influence on housing sales in the short-run relationships, but they break off when housing markets simultaneously undergo a downward slide in prices and low liquidity. In other words, a policy of lowering mortgage rates has no effect on improving housing sales when housing markets are undergoing depressing prices and low liquidity. Third, changes in housing wealth have a positive linkage with the percentage changes of housing sales only when the liquidity of housing markets is low. Fourth and finally, the changes of financial wealth have no influence on housing when we examine the market without classifying it as being either in an uptrend or downtrend. Interestingly, an increase in financial wealth can enhance the sales of houses when housing prices are classified as being in a downtrend trend and the liquidity of housing markets is deemed non-low. The rest of this paper is as follows. Section 2 discusses the relative literature. We introduce the data and relative models in 3 and 4 presents the methodologies. Section 5 analyzes the empirical results and presents suggestions. The final section offers the conclusions.

Manystudiesrecentlyhaveinvestigatedtheimpactofwealtheffects on economic activities. Wealth in fl uences consumption and provides information for forecasting assets' returns, while it can also be linked tothedemandformortgagedebts.Moststudiesfocusontheeffectof fi - nancial and housing wealth, because both assets take up a larger share of aggregate wealth. This paper extends these studies by examining the effect of fi nancial and housing wealth on actual housing sales. We substitute housing prices with housing wealth (the value of tangibleassetsintheformofresidentialbuildingsminushomeliability)to fi nda link with housing trading volume. We focus on durable assets – houses – and examine the effect of liquidity for housing markets in short-run relationships. More particularly, we directly examine the in fl uence of wealth on housing sales, whereas previous studies focus on the relationship between mortgage debts and wealth. Our empirical results contribute to the existing literatures as fol- lows. First, households' housing wealth, excluding home mortgages, has a long-run positive linkage with housing sales, whereas no link- age exists for fi nancial wealth. On the other hand, housing sales are cointegrated with real income per capita and mortgage rates, respec- tively, with negative long-run relationships. Second, the short-run dynamic effects of housing wealth, fi nancial wealth, income, and mortgage rates on housing sales are related to housing markets' liquidity. Previous studies do not discuss much about the impact of liquidity in housing markets. For example, most studies support the effect of mortgage rates on housing sales. However, on our examination of short-run relationships, changes in mortgage rates do not have any statistically signi fi cant in fl uence on housing sales when housing markets are in a downtrend trend and the liquidity of housing markets is low. Third and fi nally, the short-run asymmetric responses of housing sales depend on the trends (up and down) of housing prices. More importantly, the changes in households' fi nancial wealth have a pos- itive in fl uence on housing sales when the liquidity of housing markets is deemed non-low and housing prices are in a downtrend, whereasthe evidence is not signi fi cant in statistics when the liquidity of hous- ing markets is low and prices are decreasing. Both conditions of hous- ing liquidity and the state of housing (up and down) can separately generate the early and late stages of a downtrend. Therefore, we are able to exhibit the difference between the early and late stages of a down market. In addition, mortgage rate changes have no effect on housing sales under the conditions of low liquidity and a down mar- ket. These fi ndings can offer policy makers and builders relevant infor- mation and references for future guidelines and plans, respectively. In contrast to previous studies (e.g., Ioannides, 1989; King and Leape, 1998 ) examining the relationship between wealth effects and the demand for mortgage rates, we directly investigate the impact of housing and fi nancial wealth on housing sales, yet some questions do emerge from this paper. For example, why is the long-run cointegration relationship between housing sales and income nega- tive? Does the impact of wealth effects on consumption differ be- tween durable goods and non-durable goods? These questions can be examined in future research.