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Price Volatility of Commercial and Residential Property

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  • Sunny Kai-Sun, Kwong
  • Charles Ka-Yui Leung

Abstract

This article studies the relative volatility of commercial and residential property prices. Empirical evidence of commercial property prices being more volatile than the prices of residential property is presented. Models are built following that of Lucas. Theoretical Statements are derived to show the exact conditions under which the observations arise. The cases of fixed supply and flexible supply are considered separately. Copyright 2000 by Kluwer Academic Publishers

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Bibliographic Info

Paper provided by Chinese University of Hong Kong, Department of Economics in its series Departmental Working Papers with number _114.

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Date of creation: Oct 1999
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Handle: RePEc:chk:cuhked:_114

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Cited by:
  1. Ivan Jaccard, 2007. "Real Estate Prices in Production Economies," 2007 Meeting Papers 645, Society for Economic Dynamics.
  2. Charles Leung & Dandan Feng, 2005. "What Drives the Property Price-Trading Volume Correlation? Evidence from a Commercial Real Estate Market," The Journal of Real Estate Finance and Economics, Springer, vol. 31(2), pages 241-255, September.
  3. Charles Ka-Yui Leung, 2004. "Macroeconomics and Housing: A Review of the Literature," Departmental Working Papers _164, Chinese University of Hong Kong, Department of Economics.
  4. Kamhon Kan & Sunny Kai-Sun Kwong & Charles Ka-Yui Leung, 2003. "The Dynamics and Volatility of Commercial and Residential Property Prices: Theory and Evidence," IEAS Working Paper : academic research 03-A004, Institute of Economics, Academia Sinica, Taipei, Taiwan.
  5. Charles Ka-yui Leung & Dandan Feng, 2004. "Testing Alternative Theories of Property Price-Trading Volume with Commercial Real Estate Market Data," Departmental Working Papers _159, Chinese University of Hong Kong, Department of Economics.
  6. Nan-Kuang Chen & Charles Leung, 2008. "Asset Price Spillover, Collateral and Crises: with an Application to Property Market Policy," The Journal of Real Estate Finance and Economics, Springer, vol. 37(4), pages 351-385, November.
  7. Charles Ka Yui Leung, 2005. "Equilibrium Correlation of Asset Price and Return," Departmental Working Papers _175, Chinese University of Hong Kong, Department of Economics.
  8. Gaetano Lisi, 2013. "On the Functional Form of the Hedonic Price Function: A Matching-theoretic Model and Empirical Evidence," International Real Estate Review, Asian Real Estate Society, vol. 16(2), pages 189-207.

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