1 Housing Price & Mortgage Rate Bilge Imer Chih Hua Chen Hunjung Kim Melissa Manfredonia Yongyang Yu.

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Presentation transcript:

1 Housing Price & Mortgage Rate Bilge Imer Chih Hua Chen Hunjung Kim Melissa Manfredonia Yongyang Yu

2 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 to April Quarterly Data

3 Housing Price of USA & CA

4 30 Mortgage Rate

5 Housing Price vs. Mortgage Rate

6 CAHP: California Housing Price Index

7 Histogram of CAHP

8 Correlogram of CAPH

9 Unit Root Test on CAHP

10 CAHP vs. LNCAHP

11 Line Graph of DLNCAHP

12 Histogram of DLNCAHP

13 Correlogram of DLNCAHP

14 Unit Root Test on DLNCAHP

15 Line Graph of DDLNCAHP

16 Histogram of DDLNCAHP

17 Correlogram of DDLNCAHP

18 Unit Root Test on DDLNCAHP

19 ARTWO Model

20 Diagnosis for ARTWO

21 Histogram of Residuals

22 Correlogram of Residuals

23 Serial Correlation Test

24 Forecast / DDlncahpf sef, 2006: :04

25 Line Graph of DDLNCAHPF with Forecast 2006: :04

26 Line Graph of CAHPF with Forecast 2006: :04

27 residsq=resid*resid (resid from ARTWO)

28 Histogram of RESIDSQ

29 Correlogram of Residuals Squared

30 ARCH Test

31 GARCH(1,0)

32 Diagnosis of GARCH(1, 0)

33 Correlogram of Standardized Residuals

34 Correlogram of Standardized Residuals Squared

35 Correlogram of Standardized Residuals

36 ARCH Test

37 GARCH(1,1)

38 Diagnosis for GARCH(1, 1)

39 Correlogram of Standardized Residuals

40 Correlogram of Standardized Squared

41 Histogram of Standardized Residuals

42 ARCH Test

43 Forecast of GARCH(1,0)

44 Forecast of DDLNCAHPF

45 Line Graph of DDLNCAHPF with Forecast 2006: :04

46 Line Graph of CAHPF with Forecast 2006: :04

47 Comparison of ARTWO & GARCH(1,0)

48 Comparison of ARTWO & GARCH(1,1)

49 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 LINE GRAPHS RAW SERIESMODELED SERIES

51 GRANGER CAUSALITY RAW SERIESMODELED SERIES CA USA

52 CROSS-CORRELATION

53 ESTIMATION VAR RAW SERIESMODELED SERIES

54 GRANGER CASUALITY CROSS CORRELATION VAR RAW MODELED CA US MR CA US MR CA US MR CA US MR US MR US MR CA US MR NA SUMMARY OF INTERACTIONS

55 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.

56 Questions?