Endogenous Price Volume Correlation in the Housing Market
نویسندگان
چکیده
Housing market cycles are featured by correlation of prices and trading volume, which is conventionally attributed to a causal relation between prices and volume. This paper relies on a large panel dataset of housing markets in 127 metropolitan statistic areas from 1990:1 to 2002:2, treats both the price and volume as endogenous variables in housing markets, and studies how exogenous shocks cause co-movement of the price and volume, which we call the endogenous price-volume correlation. We find that both home prices and trading volume are affected by conditions in labor markets, the mortgage market, and the stock market, and trading volume is Granger-caused by home prices. We find a statistically significant positive price-volume correlation; which, however, is mainly explained by the endogenous correlation. Surprisingly, the Granger-causality of home prices on trading volume seems to lead to a negative price-volume relation, and thus does not contribute to the positive price-volume correlation in the quarterly frequency. JEL classification: E32, G14
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تاریخ انتشار 2005