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The Dynamics of Housing Prices

Sheridan Titman, Ko Wang, Jing Yang

NBER Working Paper No. 20418
Issued in August 2014
NBER Program(s):Asset Pricing

We analyze the prices of owner-occupied housing in 97 metropolitan areas between 1980 and 2011. Our tests indicate that price changes exhibit positive serial correlation at the one year intervals, with subsequent reversals of price changes over longer intervals. Consistent with our simple model, regional differences in observed price patterns reflect differences in the serial correlation of the demand shocks as well as the elasticity of supply responses.

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Document Object Identifier (DOI): 10.3386/w20418

Published: Journal of Real Estate Research, 2014, vol. 36, issue 3, 283-317

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