Housing market dynamics: Evidence of mean reversion and downward rigidity
A Gao, Z Lin, CF Na - Journal of Housing Economics, 2009 - Elsevier
House prices often exhibit serial correlation and mean reversion. Using two large panel
datasets, this paper analyzes the price dynamics in two significantly different types of
markets, cyclical (or volatile) and non-cyclical (or tame), by applying an autoregressive
mean reversion (ARMR) model. Our results show that cyclical markets have larger AR
coefficients than non-cyclical markets. As a result, house prices in cyclical markets tend to
have larger price cycles. We also find that the upward periods have larger AR coefficients …
datasets, this paper analyzes the price dynamics in two significantly different types of
markets, cyclical (or volatile) and non-cyclical (or tame), by applying an autoregressive
mean reversion (ARMR) model. Our results show that cyclical markets have larger AR
coefficients than non-cyclical markets. As a result, house prices in cyclical markets tend to
have larger price cycles. We also find that the upward periods have larger AR coefficients …
[PDF][PDF] Housing market dynamics: Evidence of mean reversion and downward rigidityq
A Gaoa, Z Linb, CF Nac - Journal of Housing Economics, 2009 - researchgate.net
abstract House prices often exhibit serial correlation and mean reversion. Using two large
panel datasets, this paper analyzes the price dynamics in two significantly different types of
markets, cyclical (or volatile) and non-cyclical (or tame), by applying an autoregressive
mean reversion (ARMR) model. Our results show that cyclical markets have larger AR
coefficients than non-cyclical markets. As a result, house prices in cyclical markets tend to
have larger price cycles. We also find that the upward periods have larger AR coefficients …
panel datasets, this paper analyzes the price dynamics in two significantly different types of
markets, cyclical (or volatile) and non-cyclical (or tame), by applying an autoregressive
mean reversion (ARMR) model. Our results show that cyclical markets have larger AR
coefficients than non-cyclical markets. As a result, house prices in cyclical markets tend to
have larger price cycles. We also find that the upward periods have larger AR coefficients …
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