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Housing Price Volatility: What's the Difference between Investment and Owner‐Occupancy?

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  • Yang Yang
  • Michael Rehm
  • Mingquan Zhou

Abstract

This research examines housing price volatility and its determinants in Auckland, New Zealand. It differs from the existing literature by dividing residential sales into four groups: leveraged investment (LI), leveraged owner‐occupancy (LO), unleveraged investment (UI) and unleveraged owner‐occupancy (UO). The housing price volatility of these groups is estimated using autoregressive conditional heteroscedasticity (ARCH) models. This study builds four vector autoregression (VAR) models to conduct Granger causality tests and impulse response analyses. It is found that the four volatility series respond differently to shocks. A decrease in housing prices is a significant determinant across all four groups of transactions.

Suggested Citation

  • Yang Yang & Michael Rehm & Mingquan Zhou, 2021. "Housing Price Volatility: What's the Difference between Investment and Owner‐Occupancy?," The Economic Record, The Economic Society of Australia, vol. 97(319), pages 548-563, December.
    • Handle: RePEc:bla:ecorec:v:97:y:2021:i:319:p:548-563
    DOI: 10.1111/1475-4932.12639
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