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 language | English (US) |
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Pages (from-to) | 5-18 |
Number of pages | 14 |
Journal | Journal of Real Estate Finance and Economics |
Volume | 33 |
Issue number | 1 |
DOIs | |
State | Published - Aug 2006 |
All Science Journal Classification (ASJC) codes
- Accounting
- Finance
- Economics and Econometrics
- Urban Studies