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The Campbell-Shiller present value formula implies a factor structure for the price-rent ratio of the housing market. Using a dynamic factor model, we decompose the price-rent ratios of 17 major housing markets into a national factor and independent local factors, and we link these factors to the economic fundamentals of the housing markets. We find that a large fraction of housing market volatility is local. And the local volatilities mostly are due to time-variations of idiosyncratic housingdoi:10.1111/jmcb.12246 fatcat:5nyh34mdnrgf5ozcidzer3nes4