Unit Roots and Structural Change

Giorgio Canarella, Stephen Miller and Stephen Pollard

Urban Studies, 2012, vol. 49, issue 4, 757-776

Abstract: This paper employs time-series analysis to investigate the price dynamics of the house price indices included in the S&P/Case–Shiller Composite10 index and the validity of the ‘ripple effect’, following the approach outlined by Meen (1999). More specifically, the paper first considers the time-series properties of the capital gain from the sale of houses. That is, it examines whether shocks to the capital gain series produce permanent or transitory changes. In general, the findings lack uniformity and depend upon the assumptions imposed by the testing procedures. Secondly, it considers the time-series properties of the ratio of regional house price indices to the Composite10 index. That is, it examines whether shocks to these house price ratios exhibit trend reversion. The tests of this ‘ripple effect’ also display conflicting evidence.

Date: 2012
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (52)

Downloads: (external link)
https://journals.sagepub.com/doi/10.1177/0042098011404935 (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:sae:urbstu:v:49:y:2012:i:4:p:757-776

DOI: 10.1177/0042098011404935

Access Statistics for this article

More articles in Urban Studies from Urban Studies Journal Limited
Bibliographic data for series maintained by SAGE Publications ().