Essays on dynamics of the housing market : a thesis presented in fulfilment of the requirement for the degree of Doctor of Philosophy in Finance at Massey University, Albany, New Zealand
Bibliographic record
Abstract
As the largest proportion of a household's wealth is invested in houses, a household's saving and consumption is highly likely to be affected by the movement of housing markets.Economists are also very interested in housing price movements, due to its significant impact on general economic wellbeing and business cycles.The US housing collapse is commonly referred to as the trigger of the global financial crisis (GFC), leading to stronger demand from both the public and policymakers for in-depth analysis of housing markets.This thesis provides three empirical studies that aim to explore the dynamics of housing markets.The first essay analyses the relationship between immigration and housing markets with a focus on the regional differences within a country.Among the three housing market indicators studied (prices, rents, and price-to-rent ratios), the impact of immigration is found to be most strongly associated with rents and most weakly associated with prices.A negative relationship is reported between immigration and price-to-rent ratios, implying that in an overvalued housing market, the extent of deviation from equilibrium would have been even greater without immigration.Increased global financial integration as a result of improvements in the specification of trade, innovations in finance, and advances in information technology has led to increased connectedness between financial markets.Against this backdrop, the second essay measures the equicorrelation and connectedness between housing and oil markets.The results provide robust evidence of the existence of strong connectedness between these markets.The results also indicate that the connectedness is time variant, reaching its peak during the financial crisis.Among the studied markets, the US housing market is found to be the dominant shock transmitter, spreading shocks to the other markets.During the GFC period, the oil market operated as an information transmission mediator, conveying shocks from the US housing market to other OECD housing markets, particularly in the net oil importing OECD countries.The third essay focuses on whether capital gain in housing markets smooths consumption.The results indicate that the appreciation of house prices is an effective channel of risk sharing.Furthermore, the analysis of the consumption response to long-run output shocks in three developed countries (Australia, Canada, and New Zealand) provides evidence that Canadian residents are the most sensitive to permanent domestic output shocks and that the consumption patterns of Australian residents remain unchanged.Undertaking a PhD is not all about the destination but about the journey itself, which has brought me an unforgettable experience.On this journey, I have had opportunities to meet many people that I would like to thank.
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How this classification was reachedexpand
Full frame machine prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. The Gemma side is a direct model label for every work in the frame, read from the title-only record. The Codex side is a classifier learned from the 10,348 direct Codex labels and calibrated to design-weighted sample rates; fields without enough sample support carry no Codex call. Candidate is the union of the two sides; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels.
Distilled classifier scores by category (both heads)
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.002 | 0.004 |
| Meta-epidemiology (narrow) | 0.001 | 0.000 |
| Meta-epidemiology (broad) | 0.002 | 0.001 |
| Bibliometrics | 0.002 | 0.001 |
| Science and technology studies | 0.002 | 0.003 |
| Scholarly communication | 0.004 | 0.002 |
| Open science | 0.001 | 0.002 |
| Research integrity | 0.001 | 0.002 |
| Insufficient payload (model declined to judge) | 0.031 | 0.008 |
Machine scores (provisional)
The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.
Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from itClassification
machine, unvalidatedMachine predicted; a candidate call from one source (direct Gemma or distilled Codex), not a consensus.
How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".