TY  - JOUR
AU  - Capozza,Dennis R.
AU  - Hendershott,Patric H.
AU  - Mack,Charlotte
AU  - Mayer,Christopher J.
TI  - Determinants of Real House Price Dynamics
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 9262
PY  - 2002
Y2  - October 2002
UR  - http://www.nber.org/papers/w9262
L1  - http://www.nber.org/papers/w9262.pdf
N1  - Author contact info:
Patric H. Hendershott
Fisher Hall
Ohio State University
2100 Neil Avenue
Columbus, OH 43210
Tel: 218/963-1393
Fax: 218/963-9484
E-Mail: hendershott.2@osu.edu

Charlotte Mack
E-Mail: cymack@gmail.google.com

Christopher J. Mayer
Columbia Business School
3022 Broadway, Uris Hall #805
New York, NY 10027
Tel: 212/854-4221
Fax: 212-932-0545
E-Mail: cm310@columbia.edu
AB  - We explore the dynamics of real house prices by estimating serial correlation and mean reversion coefficients from a panel data set of 62 metro areas from 1979-1995.  The serial correlation and reversion parameters are then shown to vary cross sectionally with city size, real income growth, population growth, and real construction costs. Serial correlation is higher in metro areas with higher real income, population growth and real construction costs.  Mean reversion is greater in large metro areas and faster-growing cities with lower construction costs. Empirically, substantial overshooting of prices can occur in high real construction cost areas, which have high serial correlation and low mean reversion, such as the coastal cities of Boston, New York, San Francisco, Los Angeles and San Diego.
ER  -