Price-volume Correlation in the Housing Market: Causality and Co-movements |
| |
Authors: | Jim Clayton Norman Miller Liang Peng |
| |
Institution: | 1.Pension Real Estate Association,Hartford,USA;2.School of Business Administration,University of San Diego,San Diego,USA;3.Leeds School of Business,University of Colorado at Boulder,Boulder,USA |
| |
Abstract: | Housing market cycles are featured by a positive correlation of prices and trading volume, which is conventionally attributed
to a causal relationship between prices and volume. This paper analyzes the housing markets in 114 metropolitan statistical
areas in the United States from 1990 to 2002, treats both prices and volume as endogenous variables, and studies whether and
how exogenous shocks cause co-movements of prices and volume. At quarterly frequency, we find that, first, both home prices
and trading volume are affected by conditions in labor markets, the mortgage market, and the stock market, and the effects
differ between markets with low and high supply elasticity. Second, home prices Granger cause trading volume, but the effects
are asymmetric—decreases in prices reduce trading volume, and increases in prices have no effect. Third, trading volume also
Granger causes home prices, but only in markets with inelastic supply. Finally, we find a statistically significant positive
price–volume correlation; which, however, is mainly explained by co-movements of prices and volume caused by exogenous shocks,
instead of the Granger causality between prices and volume. |
| |
Keywords: | |
本文献已被 SpringerLink 等数据库收录! |
|