Exploring metropolitan housing price volatility

Norman Miller, Liang Peng

Research output: Contribution to journalArticle

87 Citations (Scopus)

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.

Original languageEnglish (US)
Pages (from-to)5-18
Number of pages14
JournalJournal of Real Estate Finance and Economics
Volume33
Issue number1
DOIs
StatePublished - Aug 1 2006

Fingerprint

housing
income
economy
cause
interaction
evidence
volatility
price
Housing prices
Price volatility
Values
time
GARCH model

All Science Journal Classification (ASJC) codes

  • Accounting
  • Finance
  • Economics and Econometrics
  • Urban Studies

Cite this

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Exploring metropolitan housing price volatility. / Miller, Norman; Peng, Liang.

In: Journal of Real Estate Finance and Economics, Vol. 33, No. 1, 01.08.2006, p. 5-18.

Research output: Contribution to journalArticle

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