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Housing Price & Mortgage Rate. Bilge Imer Chih Hua Chen Hunjung Kim Melissa Manfredonia Yongyang Yu. Data. USA and California housing price index (Source: Office of Federal Enterprise Oversight) 30-yrs mortgage rate (Source: St. Louis Fed Economic Data) - PowerPoint PPT Presentation
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1
Housing Price & Mortgage Rate
Bilge ImerChih Hua ChenHunjung KimMelissa ManfredoniaYongyang Yu
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Data USA and California housing price index (Source: Office of Federal Enterprise Oversight)
30-yrs mortgage rate (Source: St. Louis Fed Economic Data)
- Data Range : Jan. 1975 to April. 2005 - Quarterly Data
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Housing Price of USA & CA
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30 Mortgage Rate
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Housing Price vs. Mortgage Rate
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CAHP: California Housing PriceIndex
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Histogram of CAHP
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Correlogram of CAPH
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Unit Root Test on CAHP
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CAHP vs. LNCAHP
0102030405060708090
1stQtr
2ndQtr
3rdQtr
4thQtr
EastWestNorth
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Line Graph of DLNCAHP
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Histogram of DLNCAHP
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Correlogram of DLNCAHP
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Unit Root Test on DLNCAHP
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Line Graph of DDLNCAHP
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Histogram of DDLNCAHP
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Correlogram of DDLNCAHP
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Unit Root Test on DDLNCAHP
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ARTWO Model
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Diagnosis for ARTWO
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Histogram of Residuals
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Correlogram of Residuals
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Serial Correlation Test
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Forecast / DDlncahpf sef, 2006:01 2006:04
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Line Graph of DDLNCAHPF with Forecast 2006:01 2006:04
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Line Graph of CAHPF with Forecast 2006:01 2006:04
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residsq=resid*resid (resid from ARTWO)
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Histogram of RESIDSQ
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Correlogram of Residuals Squared
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ARCH Test
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GARCH(1,0)
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Diagnosis of GARCH(1, 0)
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Correlogram of Standardized Residuals
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Correlogram of Standardized Residuals Squared
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Correlogram of Standardized Residuals
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ARCH Test
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GARCH(1,1)
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Diagnosis for GARCH(1, 1)
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Correlogram of Standardized Residuals
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Correlogram of Standardized Squared
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Histogram of Standardized Residuals
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ARCH Test
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Forecast of GARCH(1,0)
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Forecast of DDLNCAHPF
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Line Graph of DDLNCAHPF with Forecast 2006:01 2006:04
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Line Graph of CAHPF with Forecast 2006:01 2006:04
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Comparison of ARTWO & GARCH(1,0)
0
50
100
1stQtr
3rdQtr
EastWestNorth
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Comparison of ARTWO & GARCH(1,1)
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INTERACTION BETWEEN HOUSING PRICES AND MORTGAGE RATES
CA OR US HOUSING PRICES
MORTGAGE RATE
?
CA OR US HOUSING PRICES
MORTGAGE RATE
?
CA OR US HOUSING PRICES
MORTGAGE RATE
?
CA OR US HOUSING PRICES
MORTGAGE RATE
?
50
0
100
200
300
400
75 80 85 90 95 00 05
USA_HP
0
100
200
300
400
500
600
700
75 80 85 90 95 00 05
CA_HP
4
6
8
10
12
14
16
18
20
75 80 85 90 95 00 05
MORTGAGE_RATE01
LINE GRAPHSRAW SERIES MODELED SERIES
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GRANGER CAUSALITYRAW SERIES MODELED SERIES
CA
USA
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CROSS-CORRELATION
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ESTIMATION VARRAW SERIES MODELED SERIES
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GRANGER CASUALITY
CROSS CORRELATION
VAR
RAW MODELED
CA
US
MR
MR
CA
US
MR
MR
CA
US
MR
MR
CA
US
MR
MR
US MR
US MR
CA
US
MR
MR
NA
SUMMARY OF INTERACTIONS
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Conclusion Two markets for housing prices, US and
California, move together and have exponential trend
According to univariate analysis forecast the exponential growth trend will continue throughout the next year.
The casuality in between the housing prices in CA and US, and mortgage rate determined as; Mortgage Rate affects national housing prices while
CA housing prices are not largely affected by change in mortgage rates.
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Questions?
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