Ling T. He
{"title":"Holding period effect and home price indexes: a dynamic analysis","authors":"Ling T. He","doi":"10.1002/bref.160","DOIUrl":null,"url":null,"abstract":"<p>Four major home price indexes have been used in this study, and are based on different calculation methods and from different sources. The descriptive statistics indicate no meaningful differences among them. However, by analysing the orthogonalized impulse response and variance decomposition matrixes from the vector autoregressions, this study found some noticeable differences in the dynamic relationships between these indexes and three other housing factors – mortgage rates, existing home sales and new home sales – in addition to the inflation factor. The results may reflect the holding period effect in repeat sales house price indexes. Copyright © 2008 John Wiley & Sons, Ltd.</p>","PeriodicalId":100200,"journal":{"name":"Briefings in Real Estate Finance","volume":"5 3-4","pages":"115-133"},"PeriodicalIF":0.0000,"publicationDate":"2008-03-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1002/bref.160","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Briefings in Real Estate Finance","FirstCategoryId":"1085","ListUrlMain":"https://onlinelibrary.wiley.com/doi/10.1002/bref.160","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 0
Abstract
Four major home price indexes have been used in this study, and are based on different calculation methods and from different sources. The descriptive statistics indicate no meaningful differences among them. However, by analysing the orthogonalized impulse response and variance decomposition matrixes from the vector autoregressions, this study found some noticeable differences in the dynamic relationships between these indexes and three other housing factors – mortgage rates, existing home sales and new home sales – in addition to the inflation factor. The results may reflect the holding period effect in repeat sales house price indexes. Copyright © 2008 John Wiley & Sons, Ltd.
持有期效应与房价指数的动态分析
本研究使用了四种主要的房价指数，并且基于不同的计算方法和不同的来源。描述性统计表明，两者之间无显著差异。然而，通过分析矢量自回归的正交化脉冲响应和方差分解矩阵，本研究发现这些指标与其他三个住房因素-抵押贷款利率，现房销售和新房销售-以及通货膨胀因素之间的动态关系存在一些显著差异。结果可能反映了重复销售房价指数的持有期效应。版权所有©2008 John Wiley &儿子,有限公司
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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