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A New Approach in the Behavior of House Prices

Björk, Henrik LU (2013) NEKN01 20131
Department 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:
author
Björk, Henrik LU
supervisor
organization
alternative title
-A Study on the Conditional Heteroskedastic Effects in House Price Functions
course
NEKN01 20131
year
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},
  keyword      = {House Prices,Conditional variance,ARCH models},
  language     = {eng},
  note         = {Student Paper},
  title        = {A New Approach in the Behavior of House Prices},
  year         = {2013},
}