The Dynamics and Volatility of Commercial and Residential Property Prices: Theory and Evidence

40 Pages Posted: 27 May 2003

See all articles by Kamhon Kan

Kamhon Kan

Academia Sinica - Institute of Economics

Sunny Kai Sun Kwong

The Chinese University of Hong Kong (CUHK) - Department of Economics

Charles Ka Yui Leung

The Chinese University of Hong Kong (CUHK) - Department of Economics

Multiple version iconThere are 2 versions of this paper

Date Written: 2003

Abstract

This paper investigates the dynamics of property prices and their interaction with output growth in a general equilibrium model. Closed form solutions and testable hypotheses are derived from a mildly restricted version of the model. The testable hypotheses are broadly supported empirically. In particular, (1) the volatility of commercial property price is higher than that of residential property price, (2) each of lagged, contemporary, and forward commercial property price is positively correlated with residential property price, (3) the contemporaneous covariance between the two property prices is larger than the lagged covariance, and (4) output growth is positively correlated with both property prices. These results are consistent with simulations results that are based on a more general specification of the model.

Keywords: property price dynamics, comovements, commercial and residential property

JEL Classification: E30, R31, R32

Suggested Citation

Kan, Kamhon and Kwong, Kai Sun Sunny and Leung, Ka Yui Charles, The Dynamics and Volatility of Commercial and Residential Property Prices: Theory and Evidence (2003). Available at SSRN: https://ssrn.com/abstract=404860 or http://dx.doi.org/10.2139/ssrn.404860

Kamhon Kan

Academia Sinica - Institute of Economics ( email )

128 Academia Road, Section 2
Nankang
Taipei, 11529
Taiwan

Kai Sun Sunny Kwong

The Chinese University of Hong Kong (CUHK) - Department of Economics ( email )

Shatin, N.T.
Hong Kong
2609-7055 (Phone)

Ka Yui Charles Leung (Contact Author)

The Chinese University of Hong Kong (CUHK) - Department of Economics ( email )

Shatin, N.T.
Hong Kong
+852-2609-7158 (Phone)
+852-2603-5805 (Fax)

HOME PAGE: http://www.cuhk.edu.hk/eco/staff/kyleung

Register to save articles to
your library

Register

Paper statistics

Downloads
233
rank
120,982
Abstract Views
1,884
PlumX Metrics
!

Under construction: SSRN citations while be offline until July when we will launch a brand new and improved citations service, check here for more details.

For more information