Credit market data for US housing starts

data(houses)

fair_houses()

Format

A data frame with 138 rows and 7 columns

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 July 1958 to December 1969. 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)
#> # A tibble: 6 × 7
#>   DATE        HS    RM  DSLA  DMSB  DHLB     W
#>   <date>   <dbl> <dbl> <dbl> <dbl> <dbl> <dbl>
#> 1 58-01-01  62.9    NA 42362 31960   904    22
#> 2 58-02-01  61      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.     NA 44083 32690   801    19
#> 6 58-06-01 101.     NA 45020 32869   928    20
head(fair_houses())
#> # A tibble: 6 × 18
#>   DATE        HS    RM  DSLA  DMSB  DHLB     W    ID   DSF   DHF MONTH  L2RM
#>   <date>   <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <fct> <dbl>
#> 1 58-01-01  62.9    NA 42362 31960   904    22     1    NA    NA 01       NA
#> 2 58-02-01  61      NA 42735 32110   788    20     1   523  -116 02       NA
#> 3 58-03-01  77.3    NA 43219 32410   694    21     1   784   -94 03       NA
#> 4 58-04-01  94.2    NA 43575 32510   813    20     1   456   119 04       NA
#> 5 58-05-01 101.     NA 44083 32690   801    19     1   688   -12 05       NA
#> 6 58-06-01 101.     NA 45020 32869   928    20     1  1116   127 06       NA
#> # … with 6 more variables: L1RM <dbl>, L1HS <dbl>, CSHS <dbl>, MA6DSF <dbl>,
#> #   MA3DHF <dbl>, TREND <int>