The asymmetric house price dynamics: Evidence from the California market

Yuming Li

Regional Science and Urban Economics, 2015, vol. 52, issue C, 1-12

Abstract: This article studies asymmetric patterns in the serial correlation and mean reversion in house prices between periods of falling and rising prices in 26 metro areas in the state of California from 1979:Q1 to 2011:Q4. We document lower serial correlation (downward price rigidity) and greater mean reversion of house prices in periods of falling house prices. The asymmetric sensitivities of the serial correlation of house prices to income changes and population growth help explain the downward price rigidity. We document significant differences in the asymmetric patterns of house prices between the coastal and inland/valley regions of California and pervasive evidence on reduced serial correlation of house prices after the financial crisis.

Keywords: Mean reversion; Price rigidity; Asymmetries; Financial crisis (search for similar items in EconPapers)
JEL-codes: G1 R1 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0166046215000083
Full text for ScienceDirect subscribers only

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:eee:regeco:v:52:y:2015:i:c:p:1-12

DOI: 10.1016/j.regsciurbeco.2015.02.002

Access Statistics for this article

Regional Science and Urban Economics is currently edited by D.P McMillen and Y. Zenou

More articles in Regional Science and Urban Economics from Elsevier
Bibliographic data for series maintained by Catherine Liu ().