A New Approach in the Behavior of House Prices
(2013) NEKN01 20131Department of Economics
- Abstract
- House prices and their movements are a topic of much interest in today’s society. Most of the population in a country is affected by house price movements in one way or another. The debate mostly focuses on house price bubbles. In this thesis it is argued that the debate should widen its focus. During times of crises, house prices’ conditional variance increases and this harms the economy. Thus it is of importance to model this behavior. Research about house prices conditional variance has so far only been concentrated on the volatility of that single variable. In this thesis, it is argued that other fundamental variables that explain house prices should be added to this analysis. It is the conditional variance of the residuals of a house... (More)
- House prices and their movements are a topic of much interest in today’s society. Most of the population in a country is affected by house price movements in one way or another. The debate mostly focuses on house price bubbles. In this thesis it is argued that the debate should widen its focus. During times of crises, house prices’ conditional variance increases and this harms the economy. Thus it is of importance to model this behavior. Research about house prices conditional variance has so far only been concentrated on the volatility of that single variable. In this thesis, it is argued that other fundamental variables that explain house prices should be added to this analysis. It is the conditional variance of the residuals of a house price function that should be analyzed rather than only the house price itself. Conditional heteroskedastic effects are found and modeled for the residuals from a house price function. It is concluded that both the explanatory power and the fit of the model increase by adding those variables in the analysis. (Less)
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/3813940
- author
- Björk, Henrik LU
- supervisor
- organization
- alternative title
- -A Study on the Conditional Heteroskedastic Effects in House Price Functions
- course
- NEKN01 20131
- year
- 2013
- type
- H1 - Master's Degree (One Year)
- subject
- keywords
- House Prices, Conditional variance, ARCH models
- language
- English
- id
- 3813940
- date added to LUP
- 2013-06-20 10:32:52
- date last changed
- 2013-06-20 10:32:52
@misc{3813940,
abstract = {{House prices and their movements are a topic of much interest in today’s society. Most of the population in a country is affected by house price movements in one way or another. The debate mostly focuses on house price bubbles. In this thesis it is argued that the debate should widen its focus. During times of crises, house prices’ conditional variance increases and this harms the economy. Thus it is of importance to model this behavior. Research about house prices conditional variance has so far only been concentrated on the volatility of that single variable. In this thesis, it is argued that other fundamental variables that explain house prices should be added to this analysis. It is the conditional variance of the residuals of a house price function that should be analyzed rather than only the house price itself. Conditional heteroskedastic effects are found and modeled for the residuals from a house price function. It is concluded that both the explanatory power and the fit of the model increase by adding those variables in the analysis.}},
author = {{Björk, Henrik}},
language = {{eng}},
note = {{Student Paper}},
title = {{A New Approach in the Behavior of House Prices}},
year = {{2013}},
}