Volatility decomposition of Australian housing prices
Lee, Chyi Lin and Reed, Richard 2011, Volatility decomposition of Australian housing prices, in PRRES 2011 : Proceedings of the 17th Pacific Rim Real Estate Society Annual Conference, Pacific Rim Real Estate Society, Gold Coast, Qld.
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This study examines the volatility pattern of Australian housing prices. The approach for this research was to decompose the conditional volatility of housing prices into a “permanent” component and a “transitory” component via a Component-Generalized Autoregressive Conditional Heteroskedasticity (C-GARCH) model. The results demonstrate that the shock impact on the short-run component (transitory) is much larger than the long-run component (permanent), whereas the persistence of transitory shocks is much less than permanent shocks. Moreover, both permanent and transitory volatility components have different determinants. The results provide important new insights into the volatility pattern of housing prices which has direct implications for investment in housing by owner-occupiers and investors.
Field of Research
150403 Real Estate and Valuation Services
Socio Economic Objective
970115 Expanding Knowledge in Commerce, Management, Tourism and Services
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