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Exploring Metropolitan Housing Price Volatility

Norman Miller () and Liang Peng

The Journal of Real Estate Finance and Economics, 2006, vol. 33, issue 1, 5-18

Abstract: This paper uses GARCH models and a panel VAR model to analyze possible time variation of the volatility of single-family home value appreciation and the interactions between the volatility and the economy, using a large quarterly data set that covers 277 MSAs in the U.S. from 1990:1 to 2002:2. We find evidence of time varying volatility in about 17% of the MSAs. Using volatility series estimated with GARCH models, we find that the volatility is Granger-caused by the home appreciation rate and GMP growth rate. On the other hand, the volatility Granger-causes the personal income growth rate but the impact is not economically significant. Copyright Springer Science + Business Media, LLC 2006

Keywords: Home value appreciation; Housing price volatility; Urban economy; Panel VAR (search for similar items in EconPapers)
Date: 2006
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DOI: 10.1007/s11146-006-8271-8

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The Journal of Real Estate Finance and Economics is currently edited by Steven R. Grenadier, James B. Kau and C.F. Sirmans

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