Price Jump Risk in the US Housing Market

Robert I Webb, Jian Yang, Jin Zhang
The Journal of Real Estate Finance and Economics,Vol. 53, Issue 1, Pages: 29-49.

Housing prices, like the prices of other speculative assets, contain a mix of both small and large changes (ie, jumps). We apply a jump-GARCH model to monthly Case-Shiller housing price indexes of twenty cities in the US during the period January 1991 through December 2011. We document the evidence of large housing price jumps in many cities, during both the financial crisis and non-crisis periods. The housing price jump intensity observed during the whole sample is largely explained by city, state and national …
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