Credit market data for US housing starts

Usage

data(houses)

fair_houses()

Format

A data frame with 138 rows and 7 columns

Source

Details

The basic houses dataset (`houses`)

A dataset containing the monthly mortgage rates and other attributes of the US market for new, non-farm houses from January 1958 to December 1969 (144 observations). The variables are as follows:

DATE The date of the record.
HS Private non-farm housing starts in thousands of units (Not seasonally adjusted).
RM FHA Mortgage rate series on new homes in units of 100 ( beginning-of-month Data).
DSLA Savings capital (deposits) of savings and loan associations in millions of dollars.
DMSB Deposits of mutual savings banks in millions of dollars.
DHLB Advances of the federal home loan bank to savings and loan associations in million of dollars.
W Number of working days in month.

Generate the variables of the Fair & Jaffee (1972) dataset. (`fair_houses`)

Loads the houses dataset and creates the additional variables used by Fair & Jaffee (1972) doi:10.2307/1913181 . These are

ID A dummy entity identifier that is always equal to one since the houses data have only a time series component.
DSF Flow of deposits in savings and loan associations and mutual savings banks in million of dollars. Equal to $$DSLA_{t} + DMSB_{t} - (DSLA_{t-1} + DMSB_{t-1}).$$
DHF Flow of advances of the federal home loan bank to savings and loan associations in million of dollars. Equal to $$DHLB_{t} - DHLB_{t-1}.$$
MONTH The month of the date of the observation.
L1RM FHA Mortgage rate series on new homes in units of 100, lagged by one date.
L2RM FHA Mortgage rate series on new homes in units of 100, lagged by two dates.
L1HS Private non-farm housing starts in thousands of units (Not seasonally adjusted), lagged by one date.
CSHS The cumulative sum of past housing starts. Used to proxy the stock of houses
MA6DSF Moving average of order 6 of the flow of deposits in savings associations and loan associations and mutual savings banks.
MA3DHF Moving average of order 3 of the flow of advances of the federal home loan bank to savings and loan associations.
TREND A time trend variable.

Returns A modified version of the houses dataset.

Functions

fair_houses(): Generate Fair & Jaffee (1972) dataset

References

Fair, R. C. (1971). A short-run forecasting model of the United States economy. Heath Lexington Books.
Fair, R. C., & Jaffee, D. M. (1972). Methods of Estimation for Markets in Disequilibrium. Econometrica, 40(3), 497. doi:10.2307/1913181
Maddala, G. S., & Nelson, F. D. (1974). Maximum Likelihood Methods for Models of Markets in Disequilibrium. Econometrica, 42(6), 1013. doi:10.2307/1914215
Hwang, H. (1980). A test of a disequilibrium model. Journal of Econometrics, 12(3), 319–333. doi:10.1016/0304-4076(80)90059-7

Examples

data(houses)
head(houses)
#>       DATE    HS RM  DSLA  DMSB DHLB  W
#> 1 58-01-01  62.9 NA 42362 31960  904 22
#> 2 58-02-01  61.0 NA 42735 32110  788 20
#> 3 58-03-01  77.3 NA 43219 32410  694 21
#> 4 58-04-01  94.2 NA 43575 32510  813 20
#> 5 58-05-01 101.3 NA 44083 32690  801 19
#> 6 58-06-01 101.3 NA 45020 32869  928 20
head(fair_houses())
#>       DATE    HS RM  DSLA  DMSB DHLB  W ID  DSF  DHF MONTH L2RM L1RM  L1HS
#> 1 58-01-01  62.9 NA 42362 31960  904 22  1   NA   NA    01   NA   NA    NA
#> 2 58-02-01  61.0 NA 42735 32110  788 20  1  523 -116    02   NA   NA  62.9
#> 3 58-03-01  77.3 NA 43219 32410  694 21  1  784  -94    03   NA   NA  61.0
#> 4 58-04-01  94.2 NA 43575 32510  813 20  1  456  119    04   NA   NA  77.3
#> 5 58-05-01 101.3 NA 44083 32690  801 19  1  688  -12    05   NA   NA  94.2
#> 6 58-06-01 101.3 NA 45020 32869  928 20  1 1116  127    06   NA   NA 101.3
#>    CSHS MA6DSF     MA3DHF TREND
#> 1   0.0     NA         NA     1
#> 2  62.9     NA         NA     2
#> 3 123.9     NA         NA     3
#> 4 201.2     NA         NA     4
#> 5 295.4     NA -30.333333     5
#> 6 396.7     NA   4.333333     6