Housing Price Volatility and its Determinants

@inproceedings{Lee2009HousingPV,
  title={Housing Price Volatility and its Determinants},
  author={Chyi Lin Lee},
  year={2009}
}
Many studies have been sought to understand the volatility patterns of real estate, whereas the study of housing price volatility is relatively little. This study aims to examine the determinants of housing price volatility for 8 capital cities in Australia. This study utilises quarterly data of 8 capital cities in Australia from 1987:Q4 to 2007:Q4. An Exponential-Generalised Autoregressive Conditional Heteoskedasticity (EGARCH) model is employed to analyse the volatility series of housing… CONTINUE READING

From This Paper

Figures, tables, and topics from this paper.

References

Publications referenced by this paper.
Showing 1-10 of 33 references

Volatility Clustering in U.S. Home Prices

  • W. Miles
  • Journal of Real Estate Research,
  • 2008
Highly Influential
9 Excerpts

Determinants of Housing Price Volatility in Canada: A Dynamic Analysis

  • B. Hossain, E. Latif
  • Applied Economics,
  • 2007
Highly Influential
5 Excerpts

Exploring Metropolitan House Price Volatility

  • N. Miller, L. Peng
  • Journal of Real Estate Finance and Economics,
  • 2006
Highly Influential
6 Excerpts

Explaining House Prices in Australia: 1970–2003

  • P. Abelson, R. Joyeux, G. Milunovich, D. Chung
  • The Economic Record,
  • 2005
Highly Influential
6 Excerpts

Do Lower Mortgage Rates Mean Higher Housing Prices

  • J. M. McGibany, F. Nourzad
  • Applied Economics,
  • 2004
Highly Influential
5 Excerpts

Assessing the Forecasting Performance of Regime-Switching, ARIMA and GARCH Models of House Prices

  • G. W. Crawford, M. C. Fratantoni
  • Real Estate Economics,
  • 2003
Highly Influential
4 Excerpts

Forecasting Prices and Excess Returns in the Housing Market

  • K. E. Case, R. J. Shiller
  • Journal of the American Real Estate & Urban…
  • 1990
Highly Influential
5 Excerpts

Australian Capital City Real House Prices, 19791993

  • S. C. Bourassa, P. H. Hendershott
  • The Australian Economic Review,
  • 1995
Highly Influential
8 Excerpts

Similar Papers

Loading similar papers…