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Housing prices, like the prices of other speculative assets, contain a mix of both small and large changes (i.e., jumps). We apply a jump-GARCH model to monthly Case-Shiller housing price indexes of twenty cities in the U.S. during the period January 1991 through December 2011. We document the...
Persistent link: https://www.econbiz.de/10013017123
Housing prices, like the prices of other speculative assets, contain a mix of both small and large changes (i.e., jumps). We apply a jump-GARCH model to monthly Case-Shiller housing price indexes of twenty cities in the U.S. during the period January 1991 through December 2011. We document the...
Persistent link: https://www.econbiz.de/10012992311
Proposing and applying a new spillover index approach based on data-determined structural vector autoregression to measure connectedness, we examine the daily housing market information transmission via transaction volume among Chinese city-level housing markets from 2009 to 2018. We document...
Persistent link: https://www.econbiz.de/10014078602
Applying a proposed spillover index of high-dimensional generalized VAR framework, this paper, for the first time, explores housing price spillovers among 69 large- and medium-sized Chinese cities from July 2005 to June 2015. We find that city-level monthly housing prices in China are highly...
Persistent link: https://www.econbiz.de/10014078603
This paper examines pairwise intercity price-volume dynamics in China using novel daily transaction prices and volume dataset from 32 Chinese cities. Despite geographical disparity and time variations, the volume-volume dynamic relationship plays a noticeably more significant role than...
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