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- W3122384454 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." @default.
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- W3122384454 date "2006-05-22" @default.
- W3122384454 modified "2023-10-16" @default.
- W3122384454 title "Exploring Metropolitan Housing Price Volatility" @default.
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- W3122384454 doi "https://doi.org/10.1007/s11146-006-8271-8" @default.
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