Exploring Metropolitan Housing Price Volatility |
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Authors: | Norman Miller Liang Peng |
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Affiliation: | (1) Department of Finance and Real Estate, College of Business, University of Cincinnati, PO Box 210195, Cincinnati, OH 45221-0195, USA;(2) Department of Finance, Leeds School of Business, University of Colorado at Boulder, 419 UCB, Boulder, CO 80309-0419, USA |
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Abstract: | This paper uses GARCH models and a panel VAR model to analyze possible time variation of the volatility of single-family home value appreciation and the interactions between the volatility and the economy, using a large quarterly data set that covers 277 MSAs in the U.S. from 1990:1 to 2002:2. We find evidence of time varying volatility in about 17% of the MSAs. Using volatility series estimated with GARCH models, we find that the volatility is Granger-caused by the home appreciation rate and GMP growth rate. On the other hand, the volatility Granger-causes the personal income growth rate but the impact is not economically significant. |
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Keywords: | Home value appreciation Housing price volatility Urban economy Panel VAR |
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