Author:
Canarella Giorgio,Miller Stephen,Pollard Stephen
Abstract
This paper employs time-series analysis to investigate the price dynamics of the house price indices included in the S&P/Case–Shiller Composite10 index and the validity of the ‘ripple effect’, following the approach outlined by Meen (1999). More specifically, the paper first considers the time-series properties of the capital gain from the sale of houses. That is, it examines whether shocks to the capital gain series produce permanent or transitory changes. In general, the findings lack uniformity and depend upon the assumptions imposed by the testing procedures. Secondly, it considers the time-series properties of the ratio of regional house price indices to the Composite10 index. That is, it examines whether shocks to these house price ratios exhibit trend reversion. The tests of this ‘ripple effect’ also display conflicting evidence.
Subject
Urban Studies,Environmental Science (miscellaneous)
Cited by
83 articles.
订阅此论文施引文献
订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献