Exploring Metropolitan Housing Price Volatility
Posted: 14 Nov 2005
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
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