VOLATILITY DECOMPOSITION OF AUSTRALIAN HOUSING PRICES

Chyi Lin Lee and Richard Reed

ERES from European Real Estate Society (ERES)

Abstract: This study examines volatility patterns in Australian housing prices. This is undertaken by decomposing the conditional volatility of housing prices into a ìpermanentî component and a ìtransitoryî component via a Component-Generalised Autoregressive Conditional Heteoskedasticity (CGARCH) model. The results demonstrate that the shock impact on the short-run component (transitory) is much larger than the long-run component (permanent), whereas the persistence of transitory shocks is much less than permanent shocks. Moreover, the permanent and transitory volatilities have different determinants. The results give important insights into the volatility patterns of housing prices.

JEL-codes: R3 (search for similar items in EconPapers)
Date: 2010-01-01
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Persistent link: https://EconPapers.repec.org/RePEc:arz:wpaper:eres2010_066

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