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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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Title Volatility decomposition of Australian housing prices
Author(s) Lee, Chyi Lin
Reed, Richard
Conference name Pacific Rim Real Estate Society. Conference (17th : 2011 : Gold Coast, Qld.)
Conference location Gold Coast, Qld.
Conference dates 16-19 Jan, 2011
Title of proceedings PRRES 2011 : Proceedings of the 17th Pacific Rim Real Estate Society Annual Conference
Editor(s) [Unknown]
Publication date 2011
Conference series Pacific Rim Real Estate Society Conference
Publisher Pacific Rim Real Estate Society
Place of publication Gold Coast, Qld
Keyword(s) housing prices
permanent and transitory volatilities
investment risk
Component-GARCH
Australia
Summary 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.
Language eng
Field of Research 150403 Real Estate and Valuation Services
Socio Economic Objective 970115 Expanding Knowledge in Commerce, Management, Tourism and Services
HERDC Research category E1 Full written paper - refereed
Copyright notice ©2011, Pacific Rim Real Estate Society
Persistent URL http://hdl.handle.net/10536/DRO/DU:30041542

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Created: Tue, 17 Jan 2012, 15:36:08 EST by Katrina Fleming