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

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Leading indicators for the US housing market: New empirical evidence and thoughts about implications for risk managers and ESG investors. / Basse, Tobias; Desmyter, Steven; Saft, Danilo et al.
In: International Review of Financial Analysis, Vol. 89, 102765, 01.10.2023.

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@article{8f8e3c0d5cdd4c05b8629857ba401c45,
title = "Leading indicators for the US housing market: New empirical evidence and thoughts about implications for risk managers and ESG investors",
abstract = "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.",
keywords = "Economics, ESG investing, House prices, Leading indicators, Risk management, Sentiment indicators, US housing market",
author = "Tobias Basse and Steven Desmyter and Danilo Saft and Christoph Wegener",
note = "Publisher Copyright: {\textcopyright} 2023 Elsevier Inc.",
year = "2023",
month = oct,
day = "1",
doi = "10.1016/j.irfa.2023.102765",
language = "English",
volume = "89",
journal = "International Review of Financial Analysis",
issn = "1057-5219",
publisher = "Elsevier Inc.",

}

RIS

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 -