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Price-volume Correlation in the Housing Market: Causality and Co-movements

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Author Info

  • Jim Clayton
  • Norman Miller
  • Liang Peng

    ()

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File URL: http://hdl.handle.net/10.1007/s11146-008-9128-0
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Bibliographic Info

Article provided by Springer in its journal The Journal of Real Estate Finance and Economics.

Volume (Year): 40 (2010)
Issue (Month): 1 (January)
Pages: 14-40

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Handle: RePEc:kap:jrefec:v:40:y:2010:i:1:p:14-40

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Web page: http://www.springerlink.com/link.asp?id=102945

Related research

Keywords: Housing market; Price volume correlation; Granger causality; E32; G14;

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References

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  1. Cauley, Stephen Day & Pavlov, Andrey D, 2002. "Rational Delays: The Case of Real Estate," The Journal of Real Estate Finance and Economics, Springer, vol. 24(1-2), pages 143-65, Jan.-Marc.
  2. Carol Bertaut & Martha Starr-McCluer, 2000. "Household portfolios in the United States," Finance and Economics Discussion Series 2000-26, Board of Governors of the Federal Reserve System (U.S.).
  3. Chan, Sewin, 2001. "Spatial Lock-in: Do Falling House Prices Constrain Residential Mobility?," Journal of Urban Economics, Elsevier, vol. 49(3), pages 567-586, May.
  4. David Genesove & Christopher J. Mayer, 1994. "Equity and Time to Sale in the Real Estate Market," NBER Working Papers 4861, National Bureau of Economic Research, Inc.
  5. Karl E. Case & Robert J. Shiller, 2003. "Is There a Bubble in the Housing Market?," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 34(2), pages 299-362.
  6. David Genesove & Christopher Mayer, 2001. "Loss Aversion and Seller Behavior: Evidence from the Housing Market," NBER Working Papers 8143, National Bureau of Economic Research, Inc.
  7. Hanushek, Eric A & Quigley, John M, 1980. "What Is the Price Elasticity of Housing Demand?," The Review of Economics and Statistics, MIT Press, vol. 62(3), pages 449-54, August.
  8. Mark Andrew & Geoffrey Meen, 2003. "House Price Appreciation, Transactions and Structural Change in the British Housing Market: A Macroeconomic Perspective," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 31(1), pages 99-116, 03.
  9. Shafir, Eldar & Diamond, Peter & Tversky, Amos, 1997. "Money Illusion," The Quarterly Journal of Economics, MIT Press, vol. 112(2), pages 341-74, May.
  10. DiPasquale Denise & Wheaton William C., 1994. "Housing Market Dynamics and the Future of Housing Prices," Journal of Urban Economics, Elsevier, vol. 35(1), pages 1-27, January.
  11. Charles Ka Yui Leung & Dandan Feng, 2004. "Testing Alternative Theories of Property Price-Trading Volume with Commercial Real Estate Market Data," Discussion Papers 00003, Chinese University of Hong Kong, Department of Economics.
  12. Hort, Katinka, 2000. "Prices and turnover in the market for owner-occupied homes," Regional Science and Urban Economics, Elsevier, vol. 30(1), pages 99-119, January.
  13. Smith, Barton A, 1976. "The Supply of Urban Housing," The Quarterly Journal of Economics, MIT Press, vol. 90(3), pages 389-405, August.
  14. Guiso, Luigi & Jappelli, Tullio, 2000. "Household Portfolios in Italy," CEPR Discussion Papers 2549, C.E.P.R. Discussion Papers.
  15. Malpezzi, Stephen & Maclennan, Duncan, 2001. "The Long-Run Price Elasticity of Supply of New Residential Construction in the United States and the United Kingdom," Journal of Housing Economics, Elsevier, vol. 10(3), pages 278-306, September.
  16. Follain, James R. & Velz, Orawin T., 1995. "Incorporating the Number of Existing Home Sales into a Structural Model of the Market for Owner-Occupied Housing," Journal of Housing Economics, Elsevier, vol. 4(2), pages 93-117, June.
  17. Koop, Gary & Pesaran, M. Hashem & Potter, Simon M., 1996. "Impulse response analysis in nonlinear multivariate models," Journal of Econometrics, Elsevier, vol. 74(1), pages 119-147, September.
  18. Ortalo-Magne, Francois & Rady, Sven, 2004. "Housing transactions and macroeconomic fluctuations: a case study of England and Wales," Journal of Housing Economics, Elsevier, vol. 13(4), pages 287-303, December.
  19. Gabor Kezdi, 2005. "Robus Standard Error Estimation in Fixed-Effects Panel Models," Econometrics 0508018, EconWPA.
  20. Fran�ois Ortalo-Magné & Sven Rady, 2006. "Housing Market Dynamics: On the Contribution of Income Shocks and Credit Constraints ," Review of Economic Studies, Oxford University Press, vol. 73(2), pages 459-485.
  21. James A. Berkovec & John L. Goodman, 1996. "Turnover as a Measure of Demand for Existing Homes," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 24(4), pages 421-440.
  22. Krainer, John, 2001. "A Theory of Liquidity in Residential Real Estate Markets," Journal of Urban Economics, Elsevier, vol. 49(1), pages 32-53, January.
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Citations

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Cited by:
  1. Brian M. Peterson, 2012. "Fooled by Search: Housing Prices, Turnover and Bubbles," Working Papers 12-3, Bank of Canada.
  2. Song Shi & Martin Young & Bob Hargreaves, 2010. "House Price-Volume Dynamics: Evidence from 12 Cities in New Zealand," Journal of Real Estate Research, American Real Estate Society, vol. 32(1), pages 75-100.
  3. Arslan, Yavuz & Kanik, Birol & Köksal, Bülent, 2014. "Anticipated vs. Unanticipated House Price Movements and Transaction Volume," MPRA Paper 54641, University Library of Munich, Germany.
  4. Leung, Charles Ka Yui & Zhang, Jun, 2011. "“Fire Sales” in housing market: is the house-searching process similar to a theme park visit?," MPRA Paper 29127, University Library of Munich, Germany.
  5. Huang, Haifang & Humphreys, Brad, 2012. "Do New Sports Facilities Revitalize Urban Neighborhoods? Evidence from Residential Mortgage Applications," Working Papers 2012-5, University of Alberta, Department of Economics.
  6. Charles Ka Yui Leung & Jun Zhang, 2011. "¡§Fire Sales¡¨ in Housing Market: Is the House- Search Process Similar to a Theme Park Visit?," International Real Estate Review, Asian Real Estate Society, vol. 14(3), pages 311-329.
  7. William Goetzmann & Liang Peng & Jacqueline Yen, 2012. "The Subprime Crisis and House Price Appreciation," The Journal of Real Estate Finance and Economics, Springer, vol. 44(1), pages 36-66, January.
  8. Charles W. Calomiris & Stanley D. Longhofer & William Miles, 2008. "The Foreclosure-House Price Nexus: Lessons from the 2007-2008 Housing Turmoil," NBER Working Papers 14294, National Bureau of Economic Research, Inc.
  9. de Wit, Erik R. & Englund, Peter & Francke, Marc K., 2013. "Price and transaction volume in the Dutch housing market," Regional Science and Urban Economics, Elsevier, vol. 43(2), pages 220-241.
  10. Yun W. Park & Doo Woan Bahng & Sae Woon Park, 2010. "Are Broker Quotes Too Optimistic? Korean Evidence," International Real Estate Review, Asian Real Estate Society, vol. 13(1), pages 46-78.
  11. Beatrice D. Simo-Kengne & Manoel Bittencourt & Rangan Gupta, 2011. "House Prices and Economic Growth in South Africa: Evidence from Provincial-Level Data," Working Papers 201116, University of Pretoria, Department of Economics.
  12. Erik R. de Wit & Peter Englund & Marc Francke, 2010. "Price and Transaction Volume in the Dutch Housing Market," Tinbergen Institute Discussion Papers 10-039/2, Tinbergen Institute.
  13. Norman Miller & Liang Peng & Michael Sklarz, 2011. "House Prices and Economic Growth," The Journal of Real Estate Finance and Economics, Springer, vol. 42(4), pages 522-541, May.
  14. Liang Peng, 2012. "Repeat Sales Regression on Heterogeneous Properties," The Journal of Real Estate Finance and Economics, Springer, vol. 45(3), pages 804-827, October.
  15. Yun W. Park & Doo Won Bang, 2013. "Valuation of Brokers over Real Estate Cycles: Korean Evidence," International Real Estate Review, Asian Real Estate Society, vol. 16(2), pages 166-188.

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