Leading indicators for the US housing market: New empirical evidence and thoughts about implications for risk managers and ESG investors

Research output: Journal contributionsJournal articlesResearch

Authors

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.
Original languageEnglish
Article number102765
JournalInternational Review of Financial Analysis
Volume89
Number of pages12
ISSN1057-5219
DOIs
Publication statusPublished - 01.10.2023

Bibliographical note

Publisher Copyright:
© 2023 Elsevier Inc.

    Research areas

  • Economics - ESG investing, House prices, Leading indicators, Risk management, Sentiment indicators, US housing market

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