Leading indicators for the US housing market: New empirical evidence and thoughts about implications for risk managers and ESG investors
Publikation: Beiträge in Zeitschriften › Zeitschriftenaufsätze › Forschung
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in: International Review of Financial Analysis, Jahrgang 89, 102765, 01.10.2023.
Publikation: Beiträge in Zeitschriften › Zeitschriftenaufsätze › Forschung
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TY - JOUR
T1 - Leading indicators for the US housing market: New empirical evidence and thoughts about implications for risk managers and ESG investors
AU - Basse, Tobias
AU - Desmyter, Steven
AU - Saft, Danilo
AU - Wegener, Christoph
N1 - Publisher Copyright: © 2023 Elsevier Inc.
PY - 2023/10/1
Y1 - 2023/10/1
N2 - We argue that financial risk managers should focus more strongly on developing forward-looking early warning indicator systems for the North American real estate market. Based on time series data from the US housing market that focuses on the subprime crisis and the period directly after this event, we discuss possible information that such early warning indicator systems could be based on and analyze the presence of a lead-lag relationship between US housing starts and the Architectural Billings Index. We find evidence for such a relation using two different approaches, namely Granger causality tests and transfer entropy analyses. We then discuss the implications of our findings for financial risk managers as well as for ESG investors.
AB - We argue that financial risk managers should focus more strongly on developing forward-looking early warning indicator systems for the North American real estate market. Based on time series data from the US housing market that focuses on the subprime crisis and the period directly after this event, we discuss possible information that such early warning indicator systems could be based on and analyze the presence of a lead-lag relationship between US housing starts and the Architectural Billings Index. We find evidence for such a relation using two different approaches, namely Granger causality tests and transfer entropy analyses. We then discuss the implications of our findings for financial risk managers as well as for ESG investors.
KW - Economics
KW - ESG investing
KW - House prices
KW - Leading indicators
KW - Risk management
KW - Sentiment indicators
KW - US housing market
UR - http://www.scopus.com/inward/record.url?scp=85164666701&partnerID=8YFLogxK
UR - https://www.mendeley.com/catalogue/db4fef70-671c-3ea9-8daf-ec6c84e33256/
U2 - 10.1016/j.irfa.2023.102765
DO - 10.1016/j.irfa.2023.102765
M3 - Journal articles
VL - 89
JO - International Review of Financial Analysis
JF - International Review of Financial Analysis
SN - 1057-5219
M1 - 102765
ER -