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Exploring Metropolitan Housing Price Volatility

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  • Norman Miller

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  • Liang Peng

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. Copyright Springer Science + Business Media, LLC 2006

Suggested Citation

  • Norman Miller & Liang Peng, 2006. "Exploring Metropolitan Housing Price Volatility," The Journal of Real Estate Finance and Economics, Springer, vol. 33(1), pages 5-18, August.
    • Handle: RePEc:kap:jrefec:v:33:y:2006:i:1:p:5-18
    DOI: 10.1007/s11146-006-8271-8
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    References listed on IDEAS

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