An Anatomy of Price Dynamics in Illiquid Markets: Analysis and Evidence from Local Housing Markets

D. Capozza, P. Hendershott, C. Mack
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引用次数: 283

Abstract

This research analyzes the dynamic properties of the difference equation that arises when markets exhibit serial correlation and mean reversion. We identify the correlation and reversion parameters for which prices will overshoot equilibrium ("cycles") andsor diverge permanently from equilibrium. We then estimate the serial correlation and mean reversion coefficients from a large panel data set of 62 metro areas from 1979 to 1995 conditional on a set of economic variables that proxy for information costs, supply costs and expectations. Serial correlation is higher in metro areas with higher real incomes, population growth and real construction costs. Mean reversion is greater in large metro areas and faster growing cities with lower construction costs. The average fitted values for mean reversion and serial correlation lie in the convergent oscillatory region, but specific observations fall in both the damped and oscillatory regions and in both the convergent and divergent regions. Thus, the dynamic properties of housing markets are specific to the given time and location being considered. Copyright 2004 by the American Real Estate and Urban Economics Association
非流动性市场的价格动态剖析:来自地方住房市场的分析和证据
本文分析了当市场表现出序列相关和均值回归时,差分方程的动态特性。我们确定了价格将超过均衡(“周期”)或永久偏离均衡的相关参数和回归参数。然后,我们根据一组代表信息成本、供应成本和预期的经济变量,估计了1979年至1995年62个大都市地区的大型面板数据集的序列相关性和均值回归系数。在实际收入、人口增长和实际建设成本较高的大都市地区,序列相关性更高。在大型都市区和建设成本较低的快速发展城市,均值回归更大。均值回归和序列相关的平均拟合值位于收敛振荡区,但具体观测值在阻尼区和振荡区以及收敛区和发散区都有。因此,住房市场的动态特性是特定于所考虑的给定时间和地点的。版权所有2004年美国房地产和城市经济协会
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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