Housing Price Volatility: What’s the Difference between Investment and Owner-Occupancy?

Yang Yang and Michael Rehm

ERES from European Real Estate Society (ERES)

Abstract: The purpose of this research is to examine housing price volatility and its determinants in Auckland, a housing market that has experienced an upward trend in real estate prices with fluctuations. This study is different from existing literature by differentiating two types of transactions: leveraged investment and leveraged owner-occupancy. The housing price volatility of these two groups is estimated using GARCH-M models. This study then builds two VAR models as frameworks to conduct Granger causality tests, impulse response analyses and variance decomposition analyses. It is found that the volatility of those two types of sales responds differently to shocks in variables. In addition, a shock in the growth rate of housing prices, especially a negative shock, is the most significant determinant of the housing price volatility for both leveraged investment and leveraged owner-occupancy. The findings of this research bear implications for policy-makers.

Keywords: GARCH-M model; Granger causality test; housing price volatility; VAR model (search for similar items in EconPapers)
JEL-codes: R3 (search for similar items in EconPapers)
Date: 2021-01-01
New Economics Papers: this item is included in nep-isf and nep-ure
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Persistent link: https://EconPapers.repec.org/RePEc:arz:wpaper:eres2021_163

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