The Subprime Crisis and House Price Appreciation

Journal of Real Estate Finance and Economics

Volumn 44, Issue 1-2, 2012, Pages 36-66

  Goetzmann, William N ^a   Peng, Liang ^b   Yen, Jacqueline ^a  

^a YALE SCHOOL OF MANAGEMENT   (United States)

^b UNIVERSITY OF COLORADO   (United States)

Author keywords

Expectations; House prices; Mortgage; Subprime

Indexed keywords

EID: 84855565978     PISSN: 08955638     EISSN: None     Source Type: Journal    
DOI: 10.1007/s11146-011-9321-4     Document Type: Article

References (42)

1. Avery, R. B., Brevoort, K. P., & Canner, G. B. (2007). The 2006 HMDA Data. Federal Reserve Bulletin, 93, A73-A109.
2. Bailey, M., Muth, R., & Nourse, H. (1963). A regression method for real estate price index construction. J. Amer. Statist. Assoc., 58, 933-942.
3. Brunnermeier, M., & Julliard, C. (2008). Money illusion and housing frenzies. Review of Financial Studies, 21(1), 135-180.
4. Calem, P. S., Gillen, K., & Wachter, S. M. (2003). The neighborhood distribution of subprime mortgage lending. U of Penn, Inst for Law & Econ Research Paper 03-39.
5. Calhoun, C. A. (1996). OFHEO House Price Indexes: HPI Technical Description. Office of Federal Housing Enterprise Oversight.
6. Caplin, A, Chan, S., Freeman, C., & Tracy, J. (1999). "Household Asset Portfolios and the Reform of the Housing Finance Market," TIAA-CREF Research Dialogues.
7. Capozza, D. R., Kazarian, D., & Thomson, T. A. (1997). Mortgage default in local markets. Real Estate Economics, 25(4), 631-655.
8. Case, K. E., & Shiller, R. J. (1989). The efficiency of the market for single-family homes. The American Economic Review, 79(1), 125-37.
9. Case, K. E., & Shiller, R. J. (2003). Is there a bubble in the housing market? Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, 34(2), 299-362.
10. Clayton, J., Miller, N., & Peng, L. (2008). Price-Volume Correlation in the Housing Market: Causality and Co-movement. Journal of Real Estate Finance and Economics, forthcoming.
11. Crews Cutts, A., & van Order, R. (2005). On the economics of subprime lending. The Journal of Real Estate Finance and Economics, 30, 167-196.
12. Dell'Ariccia, G., Igan, D., & Laeven, L. (2009). "Credit Booms and Lending Standards: Evidence from the Subprime Mortgage Market," IMF Working Papers.
13. Demyanyk, Y., & van Hemert, O. (2011). Understanding the Subprime Mortgage Crisis. Review of Financial Studies, 24(6), 1848-1880.
14. Deng, Y., Quigley, J., & van Order, J. (2000). Mortgage terminations, heterogeneity, and the exercise of mortgage options. Econometrica, 68(2), 275-308.
15. Doms, M., Furlong, F., & Krainer, J. (2007) Subprime Mortgage Delinquency Rates. Federal Reserve Bank of San Francisco Working Paper 2007-33.
16. Downing, C., Stanton, R., & Wallace, N. (2005). An empirical test of a two-factor mortgage valuation model: how much do house prices matter? Real Estate Economics, 33(4), 681-710.
17. Fisher, J., Gatzlaff, D., Geltner, D., & Haurin, D. (2003). Controlling for the impact of variable liquidity in commercial real estate price indices. Real Estate Economics, 31(2), 269-303. 06.
18. Gabriel, S., & Rosenthal, S. (2007). "Secondary Markets, Risk, and Access to Credit: Evidence from the Mortgage Market," Working Paper, Syracuse University.
19. Gatzlaff, D. H., & Haurin, D. R. (1997). Sample selection bias and repeat-sales index estimates. The Journal of Real Estate Finance and Economics, 14(1-2), 33-50.
20. Geltner, D. (1997). Bias and precision of estimates of housing investment risk based n repeat-sales indexes: a simulation analysis. Journal of Real Estate Finance and Economics, 14, 155-171.
21. Glaeser, E. L., Gyourko, J. E., & Saks, R. E. (2005). Why have housing prices gone up? The American Economic Review, 95(2), 329-333.
22. Goetzmann, W. N. (1992). The accuracy of real estate indexes: repeat sales estimators. Journal of Real Estate Finance and Economics, 5, 5-53.
23. Goetzmann, W. N., & Peng, L. (2006). Estimating house price indexes in the presence of seller reservation prices. The Review of Economics and Statistics, 88(1), 100-112.
24. Goetzmann, W. N., & Spiegel, M. I. (2002). "Policy Implications of Portfolio Choice in Underserved Mortgage Markets," in Low-Income Homeownership: Examining the Unexamined Goal by Nicolas P. Retsinas and Eric S. Belsky.
25. Goetzmann, W. N., & Valaitis, E. (2006). "Simulating Real Estate in the Investment Portfolio: Model Uncertainty and Inflation Hedging," Yale ICF Working Paper No. 06-04.
26. Henderson, J. V., & Ioannides, Y. M. (1983). A model of housing tenure choice. The American Economic Review, 73, 98-113.
27. Ioannides, Y. M., & Rosenthal, S. S. (1994). Estimating the consumption and investment demands for housing and their effect on housing tenure status. The Review of Economics and Statistics, 76, 127-141.
28. Keys, B. J., Mukherjee, T. K., Seru, A., & Vig, V. (2008). "Did Securitization Lead to Lax Screening? Evidence from Subprime Loans," SSRN Working Paper.
29. Lin, Z., & Vandell, K. D. (2007). Illiquidity and pricing biases in the real estate market. Real Estate Economics, 35(3), 291-330.
30. Loutskina, E., & Strahan, P. E. (2006) "Securitization and the Declining Impact of Bank Finance on Loan Supply: Evidence from Mortgage Acceptance Rates," SSRN working paper.
31. Mayer, C., & Pence, K. (2008). "Subprime Mortgages: What, Where, and to Whom?" Finance and Economics Discussion Series, Federal Reserve Board.
32. Mian, A., & Sufi, A. (2008). "The Consequences of Mortgage Credit Expansion: Evidence from the 2007 Mortgage Default Crisis," working paper, University of Chicago.
33. Rajan, U., Seru, A., & Vig, V. (2008). " The Failure of Models That Predict Failure: Distance, Incentives and Defaults," Working paper.
34. Shumway, R. H., & Stoffer, D. (2006). Series Analysis and Its Applications: With R Examples, Springer Texts in Statistics.
35. Sinai, T., & Souleles, N. S. (2005). Owner-occupied housing as a hedge against rent risk. Quarterly Journal of Economics, 120, 763-789.
36. Wachter, S. M., Russo, K., & Hershaff, J. E. (2005) "Subprime Lending: Neighborhood Patterns Over Time in US Cities." U of Penn, Inst for Law & Econ.
37. Case, K., & Shiller, R. (1987). Prices of single-family homes since 1970: new indexes for four cities. New England Economic Review, 87(1987), 45-56.
38. Case, K. E., & Shiller, R. J. (1988). The Behavior of Home Buyers in Boom and Post-Boom Markets. New England Economic Review pp. 2-46, November/December. 36.
39. Case, K. E., & Shiller, R. (1990). Forecasting prices and excess returns in the housing market. AREUEA J., 18, 253-273.
40. Dhar, R., & Zhu, N. (2006). Up close and personal: investor sophistication and the disposition effect52(5). Management Science, 52(5), 726-740.
41. Pennington-Cross, A., & Chomsisengphet, S. (2007). Subprime refinancing: equity extraction and mortgage termination. Real Estate Economics, 35, 233-263.
42. Shiller, R. (1991). Arithmetic repeat sales price estimators. Journal of Housing Economics, 1, 110-126.