Economics at your fingertips  

Housing Price Volatility: What's the Difference between Investment and Owner‐Occupancy?

Yang Yang, Michael Rehm and Mingquan Zhou

The Economic Record, 2021, vol. 97, issue 319, 548-563

Abstract: This research examines housing price volatility and its determinants in Auckland, New Zealand. It differs from the existing literature by dividing residential sales into four groups: leveraged investment (LI), leveraged owner‐occupancy (LO), unleveraged investment (UI) and unleveraged owner‐occupancy (UO). The housing price volatility of these groups is estimated using autoregressive conditional heteroscedasticity (ARCH) models. This study builds four vector autoregression (VAR) models to conduct Granger causality tests and impulse response analyses. It is found that the four volatility series respond differently to shocks. A decrease in housing prices is a significant determinant across all four groups of transactions.

Date: 2021
References: View references in EconPapers View complete reference list from CitEc

Downloads: (external link)

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:

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0013-0249

Access Statistics for this article

The Economic Record is currently edited by Paul Miller, Glenn Otto and Martin Richardson

More articles in The Economic Record from The Economic Society of Australia Contact information at EDIRC.
Bibliographic data for series maintained by Wiley-Blackwell Digital Licensing () and Christopher F. Baum ().

Page updated 2024-07-01
Handle: RePEc:bla:ecorec:v:97:y:2021:i:319:p:548-563