The Dynamics of Housing Prices

44 Pages Posted: 3 Sep 2014

See all articles by Sheridan Titman

Sheridan Titman

University of Texas at Austin - Department of Finance; National Bureau of Economic Research (NBER)

Ko Wang

Johns Hopkins University - Carey Business School

Jing Yang

California State University, Fullerton - Department of Finance

Multiple version iconThere are 2 versions of this paper

Date Written: August 2014

Abstract

We analyze the prices of owner-occupied housing in 97 metropolitan areas between 1980 and 2011. Our tests indicate that price changes exhibit positive serial correlation at the one year intervals, with subsequent reversals of price changes over longer intervals. Consistent with our simple model, regional differences in observed price patterns reflect differences in the serial correlation of the demand shocks as well as the elasticity of supply responses.

Suggested Citation

Titman, Sheridan and Wang, Ko and Yang, Jing, The Dynamics of Housing Prices (August 2014). NBER Working Paper No. w20418. Available at SSRN: https://ssrn.com/abstract=2490832

Sheridan Titman (Contact Author)

University of Texas at Austin - Department of Finance ( email )

Red McCombs School of Business
Austin, TX 78712
United States
512-232-2787 (Phone)
512-471-5073 (Fax)

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Ko Wang

Johns Hopkins University - Carey Business School ( email )

100 International Drive
Baltimore, MD 21202
United States

Jing Yang

California State University, Fullerton - Department of Finance ( email )

PO Box 34080
Fullerton, CA 92834-9480
United States

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