The asymmetric house price dynamics: Evidence from the California market

被引：11
|
作者：
Li, Yuming [1 ]
机构：
[1] Calif State Univ Fullerton, Dept Finance, Fullerton, CA 92834 USA
来源：
REGIONAL SCIENCE AND URBAN ECONOMICS | 2015年 / 52卷
关键词：
Mean reversion; Price rigidity; Asymmetries; Financial crisis;
D O I：
10.1016/j.regsciurbeco.2015.02.002
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This article studies asymmetric patterns in the serial correlation and mean reversion in house prices between periods of falling and rising prices in 26 metro areas in the state of California from 1979:Q1 to 2011:Q4. We document lower serial correlation (downward price rigidity) and greater mean reversion of house prices in periods of falling house prices. The asymmetric sensitivities of the serial correlation of house prices to income changes and population growth help explain the downward price rigidity. We document significant differences in the asymmetric patterns of house prices between the coastal and inland/valley regions of California and pervasive evidence on reduced serial correlation of house prices after the financial crisis. (C) 2015 Elsevier B.V. All rights reserved.
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页码：1 / 12
页数：12
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