Determinants of Real House Price Dynamics

Topics:
Regulations
Tags:
Construction Cost,
Correlation,
Finance,
Income,
Operational Accounting,
Serial Correlation
Source:
National Bureau of Economic Research

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Overview: The paper explores the dynamics of real house prices by estimating serial correlation and mean reversion coefficients from a panel data set of 62 metro areas from 1979-1995. The serial correlation and reversion parameters are then shown to vary cross sectionally with city size, real income growth, population growth, and real construction costs. Serial correlation is higher in metro areas with higher real income, population growth and real construction costs. Mean reversion is greater in large metro areas and faster-growing cities with lower construction costs. Empirically, substantial overshooting of prices can occur in high real construction cost areas, which have high serial correlation and low mean reversion.

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Format: PDF | Size: 514KB | Date: Oct 2002 | Pages: 35

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