Housing Price Volatility Changes and Their Effects
研究了区域房价波动性的显著变化，识别出36个波动事件，发现波动变化与收入增长、通胀和利率等经济条件密切相关，且波动上升会在区域间扩散。
We examine significant volatility shifts in regional housing price changes, adapting a method of Haugen, Talmor and Torous (1991) independent of predefined sampling blocks. We identify 36 volatility events, most of which are purely regional, but three of which are national. We find significant associations of volatility events and economic conditions, especially national and regional income growth, inflation, and interest rates. During an initial adjustment period after a volatility shift, realized housing returns move opposite to volatility. We find evidence of significant interregional diffusion of volatility increases, but not of decreases. New insights on links between economic conditions and housing volatility and returns should be of value to household investors and mortgage investors.