Exploring Metropolitan Housing Price Volatility

Posted: 14 Nov 2005

See all articles by Norman G. Miller

Norman G. Miller

University of San Diego - Real Estate Institute

Liang Peng

Smeal College of Business, The Pennsylvania State University

Multiple version iconThere are 2 versions of this paper

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.

Keywords: home value appreciation, housing price volatility, urban economy, panel VAR

Suggested Citation

Miller, Norman G. and Peng, Liang, Exploring Metropolitan Housing Price Volatility. Journal of Real Estate Finance and Economics, Forthcoming. Available at SSRN: https://ssrn.com/abstract=845567

Norman G. Miller (Contact Author)

University of San Diego - Real Estate Institute ( email )

San Diego, CA
United States

Liang Peng

Smeal College of Business, The Pennsylvania State University ( email )

University Park
State College, PA 16802
United States

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