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Paper eres2010_066:
VOLATILITY DECOMPOSITION OF AUSTRALIAN HOUSING PRICES

id eres2010_066
authors Lee, Chyi Lin; Reed, Richard
year 2010
title VOLATILITY DECOMPOSITION OF AUSTRALIAN HOUSING PRICES
source 17th Annual European Real Estate Society Conference in Milan, Italy
summary This study examines volatility patterns in Australian housing prices. This is undertaken by decomposing the conditional volatility of housing prices into a “permanent” component and a “transitory” component via a Component-Generalised Autoregressive Conditional Heteoskedasticity (CGARCH) 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, the permanent and transitory volatilities have different determinants. The results give important insights into the volatility patterns of housing prices.
keywords Housing prices, permanent and transitory volatilities, Component-GARCH, Australia
series ERES:conference
email chyilin.lee@uws.edu.au
more http://www.eres2010.org/index.asp?page=papers_download
content file.ppt (1,201,664 bytes)
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ratings
session Housing Economics (2)
last changed 2010/08/04 20:47
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