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Exploring Metropolitan Housing Price Volatility

Author Info

Listed author(s):
  • Norman Miller

    ()

  • 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

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File URL: http://hdl.handle.net/10.1007/s11146-006-8271-8
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Article provided by Springer in its journal The Journal of Real Estate Finance and Economics.

Volume (Year): 33 (2006)
Issue (Month): 1 (August)
Pages: 5-18

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Handle: RePEc:kap:jrefec:v:33:y:2006:i:1:p:5-18
DOI: 10.1007/s11146-006-8271-8
Contact details of provider: Web page: http://www.springer.com

Order Information: Web: http://www.springer.com/economics/regional+science/journal/11146/PS2

Keywords: Home value appreciation; Housing price volatility; Urban economy; Panel VAR;

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