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Regional housing prices in the USA: An empirical investigation of nonlinearity

Title
Regional housing prices in the USA: An empirical investigation of nonlinearity
Authors
Kim S.-W.Bhattacharya R.
Ewha Authors
김세완
SCOPUS Author ID
김세완scopus
Issue Date
2009
Journal Title
Journal of Real Estate Finance and Economics
ISSN
0895-5638JCR Link
Citation
Journal of Real Estate Finance and Economics vol. 38, no. 4, pp. 443 - 460
Indexed
SSCI; SCOPUS WOS scopus
Document Type
Article
Abstract
Existing literature on housing prices is predominantly in a linear framework, and an important question that has not been addressed is whether housing prices exhibit nonlinearity. We examine Smooth Transition Autoregressive (STAR) model based nonlinear properties of housing prices over the 1969-2004 period for the entire US and the four regions. Our main findings are (1) housing price for the entire US and all regions except for the Midwest show non-linearity, (2) the dynamic properties implied by the nonlinear estimation explain the typical patterns that have characterized each housing market, and (3) results of Granger causality tests look more plausible in the nonlinear framework where we find stronger evidence of Granger causality from housing price to employment and also from mortgage rates to housing price. © 2007 Springer Science+Business Media, LLC.
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DOI
10.1007/s11146-007-9094-y
Appears in Collections:
사회과학대학 > 경제학전공 > Journal papers
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