Holding period effect and home price indexes: a dynamic analysis
Article first published online: 3 MAR 2008
Copyright © 2008 John Wiley & Sons, Ltd.
Briefings in Real Estate Finance
Volume 5, Issue 3-4, pages 115–133, September - December 2005
How to Cite
He, L. T. (2005), Holding period effect and home price indexes: a dynamic analysis. Brief. Real Est. Fin., 5: 115–133. doi: 10.1002/bref.160
- Issue published online: 26 MAR 2008
- Article first published online: 3 MAR 2008
Four major home price indexes have been used in this study, and are based on different calculation methods and from different sources. The descriptive statistics indicate no meaningful differences among them. However, by analysing the orthogonalized impulse response and variance decomposition matrixes from the vector autoregressions, this study found some noticeable differences in the dynamic relationships between these indexes and three other housing factors – mortgage rates, existing home sales and new home sales – in addition to the inflation factor. The results may reflect the holding period effect in repeat sales house price indexes. Copyright © 2008 John Wiley & Sons, Ltd.