Abstract
We use Google search data to develop a broad-based and real-time index of
housing distress. Unlike established indicators, this new Housing Distress Index
(HDI) directly reflects sentiment revealed through search queries. Research findings
indicate that the HDI provides important new insights in the determination of
subprime mortgage credit-default swaps, the VIX, foreclosures, and national or
city-specific housing returns. Further, the effects of housing distress on returns
are asymmetric and stronger during times of crisis. Overall, results suggest that
real estate and related markets are highly sensitive to vulnerabilities in household
finances as captured by our measure of housing distress.
housing distress. Unlike established indicators, this new Housing Distress Index
(HDI) directly reflects sentiment revealed through search queries. Research findings
indicate that the HDI provides important new insights in the determination of
subprime mortgage credit-default swaps, the VIX, foreclosures, and national or
city-specific housing returns. Further, the effects of housing distress on returns
are asymmetric and stronger during times of crisis. Overall, results suggest that
real estate and related markets are highly sensitive to vulnerabilities in household
finances as captured by our measure of housing distress.
| Original language | English |
|---|---|
| Publication date | 2014 |
| Number of pages | 49 |
| Publication status | Published - 2014 |
| Event | The 49th AREUEA-ASSA Conference 2014 - Philadelphia, PA, United States Duration: 3 Jan 2014 → 5 Jan 2014 Conference number: 49 https://www.areuea.org/conferences/details.phtml?id=95 |
Conference
| Conference | The 49th AREUEA-ASSA Conference 2014 |
|---|---|
| Number | 49 |
| Country/Territory | United States |
| City | Philadelphia, PA |
| Period | 03/01/2014 → 05/01/2014 |
| Other | Incl. joint sessions with the American Economic Association (AEA) and with the American Finance Association (AFA) |
| Internet address |