Sự không hiệu quả thị trường không gian trong thị trường nhà ở: Một phương pháp hồi quy phân vị không gian

Jiyoung Chae1, Anil K. Bera2
1Federal Reserve Bank of Richmond, Richmond, USA
2Department of Economics, University of Illinois at Urbana-Champaign, Champaign, USA

Tóm tắt

Bài báo này kiểm tra thực nghiệm hiệu quả thị trường nhà ở trong chiều không gian bằng cách sử dụng các mô hình tự hồi quy không gian có điều kiện không đồng nhất (ARCH) và hồi quy phân vị không gian. Các phép kiểm tra được thực hiện theo cả tỷ suất sinh lợi từ bất động sản và tỷ suất sinh lợi bình phương (biến động). Dữ liệu giá bán được sử dụng là từ MLS nhà ở Cook County trong các năm 2010–2016. Những phát hiện chính là rằng tỷ suất sinh lợi từ bất động sản không có mối tương quan không gian nhưng tỷ suất sinh lợi bình phương có mối tương quan không gian, và sự phụ thuộc không gian của tỷ suất sinh lợi bình phương dường như mạnh mẽ hơn đối với các phân vị tỷ suất sinh lợi bình phương cao hơn.

Từ khóa

#thị trường nhà ở #hiệu quả thị trường #hồi quy phân vị không gian #tự hồi quy không gian #biến động giá tài sản

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