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The asymmetric house price dynamics: Evidence from the California market

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  • Li, Yuming

Abstract

This article studies asymmetric patterns in the serial correlation and mean reversion in house prices between periods of falling and rising prices in 26 metro areas in the state of California from 1979:Q1 to 2011:Q4. We document lower serial correlation (downward price rigidity) and greater mean reversion of house prices in periods of falling house prices. The asymmetric sensitivities of the serial correlation of house prices to income changes and population growth help explain the downward price rigidity. We document significant differences in the asymmetric patterns of house prices between the coastal and inland/valley regions of California and pervasive evidence on reduced serial correlation of house prices after the financial crisis.

Suggested Citation

  • Li, Yuming, 2015. "The asymmetric house price dynamics: Evidence from the California market," Regional Science and Urban Economics, Elsevier, vol. 52(C), pages 1-12.
    • Handle: RePEc:eee:regeco:v:52:y:2015:i:c:p:1-12
    DOI: 10.1016/j.regsciurbeco.2015.02.002
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    Cited by:

    1. Yuming Li & Jing Yang, 2018. "House Price Dynamics and Excess Risk," International Real Estate Review, Global Social Science Institute, vol. 21(2), pages 251-274.
    2. Tsai, I-Chun & Peng, Chien-Wen, 2016. "Linear and nonlinear dynamic relationships between housing prices and trading volumes," The North American Journal of Economics and Finance, Elsevier, vol. 38(C), pages 172-184.
    3. MeiChi Huang, 2017. "Vulnerabilities to housing bubbles: Evidence from linkages between housing prices and income fundamentals," International Finance, Wiley Blackwell, vol. 20(1), pages 64-91, March.
    4. Yuming Li & Jing Yang, 2020. "Momentum Strategies with Home Price Indices and Stocks," International Real Estate Review, Global Social Science Institute, vol. 23(2), pages 861-892.
    5. Yuming Li & Jing Yang, 2020. "Momentum Strategies with Home Price Indices and Stocks," International Real Estate Review, Global Social Science Institute, vol. 23(2), pages 235-266.

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    More about this item

    Keywords

    Mean reversion; Price rigidity; Asymmetries; Financial crisis;
    All these keywords.

    JEL classification:

    • R1 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General Regional Economics
    • G1 - Financial Economics - - General Financial Markets

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