Serial persistence and risk structure of local housing market

Shi, S

Serial persistence and risk structure of local housing market

Shi, S

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Publication Type:: Journal Article
Citation:: Pacific Rim Property Research Journal, 2011, 17 (2), pp. 183 - 196
Issue Date:: 2011-01-01

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Field	Value	Language
dc.contributor.author	Shi, S https://orcid.org/0000-0003-4188-5151	en_US
dc.date.issued	2011-01-01	en_US
dc.identifier.citation	Pacific Rim Property Research Journal, 2011, 17 (2), pp. 183 - 196	en_US
dc.identifier.issn	1444-5921	en_US
dc.identifier.uri	http://hdl.handle.net/10453/116905
dc.description.abstract	This paper investigated serial correlations and the risk structure of local house price movements for single family homes. It was found house price changes were strongly correlated over time, but the market risk structure (variance of price changes) was specific to location differences and varied largely depending on different measurement intervals. For the monthly measurement interval, the market risk was close to a linear form. However, measured quarterly, the market risk tended to follow a quadratic form for a shorter time period up to 8 quarters and after that, the actual risk form seemed to sit in between the linear and quadratic forms. These findings have important implications in developing a house price index based on the weighted repeated sales (WRS) method.	en_US
dc.relation.ispartof	Pacific Rim Property Research Journal	en_US
dc.relation.isbasedon	10.1080/14445921.2011.11104323	en_US
dc.title	Serial persistence and risk structure of local housing market	en_US
dc.type	Journal Article
utslib.citation.volume	2	en_US
utslib.citation.volume	17	en_US
utslib.for	1205 Urban and Regional Planning	en_US
utslib.for	1502 Banking, Finance and Investment	en_US
utslib.for	12 Built Environment and Design	en_US
utslib.for	14 Economics	en_US
utslib.for	15 Commerce, Management, Tourism and Services	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Design, Architecture and Building
pubs.organisational-group	/University of Technology Sydney/Faculty of Design, Architecture and Building/School of Built Environment
utslib.copyright.status	closed_access
pubs.issue	2	en_US
pubs.publication-status	Published	en_US
pubs.volume	17	en_US

Abstract:

This paper investigated serial correlations and the risk structure of local house price movements for single family homes. It was found house price changes were strongly correlated over time, but the market risk structure (variance of price changes) was specific to location differences and varied largely depending on different measurement intervals. For the monthly measurement interval, the market risk was close to a linear form. However, measured quarterly, the market risk tended to follow a quadratic form for a shorter time period up to 8 quarters and after that, the actual risk form seemed to sit in between the linear and quadratic forms. These findings have important implications in developing a house price index based on the weighted repeated sales (WRS) method.

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10453/116905