Price-volume Correlation in the Housing Market: Causality and Co-movements (P.24)

Using an unusually large panel data set consisting of housing markets in 114 MSAs
from 1990 to 2002, we study the determinants of home prices and trading volume in
the housing market. We find that the housing market is affected by shocks in the
labor market, mortgage market and the stock market. Moreover, house prices
Granger cause trading volume, but the effects are asymmetric: decreases in house
prices lead to lower trading volume, while increases in house prices have no effect

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