DOES INTEREST RATE VOLATILITY AFFECT THE US DEMAND FOR HOUSING? EVIDENCE FROM THE AUTOREGRESSIVE DISTRIBUTED LAG METHOD

TAUFIQ CHOUDHRY

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DOES INTEREST RATE VOLATILITY AFFECT THE US DEMAND FOR HOUSING? EVIDENCE FROM THE AUTOREGRESSIVE DISTRIBUTED LAG METHOD

机译：利率波动会影响美国对住房的需求吗？自回归分布式滞后方法的证据

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This paper investigates empirically the effects of real interest rate volatility on demand for total housing and new housing in the USA. The investigation looks at monthly data from 1975 to 2006 using the autore-gressive distributed lag bounds testing approach to co-integration and the Hendry 'general-to-specific' causality test. Three different real rates are applied: mortgage, long term and short term. The results indicate a long-run equilibrium relationship between housing demand and its determinants including interest rate volatility. Results from the causality test indicate housing demand determinants (including interest rate volatility) cause demand for both total and new housing in the long run.

机译：本文对美国实际利率波动对总住房和新住房需求的影响进行了实证研究。该调查使用自回归分布滞后检验方法进行协整，并研究了亨德利“从一般到特定”因果关系的方法，调查了1975年至2006年的月度数据。应用了三种不同的实际利率：抵押，长期和短期。结果表明，住房需求及其决定因素（包括利率波动）之间存在长期的均衡关系。因果关系检验的结果表明，从长期来看，住房需求决定因素（包括利率波动）会导致对总住房和新住房的需求。

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《The Manchester school》 |2010年第4期|P.326-344|共19页
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TAUFIQ CHOUDHRY;
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School of Management, University of Southampton;

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DOES INTEREST RATE VOLATILITY AFFECT THE US DEMAND FOR HOUSING? EVIDENCE FROM THE AUTOREGRESSIVE DISTRIBUTED LAG METHOD

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