The level and direction of autocorrelation in house price movements differ across areas and change over time. This finding reconciles the conflicting reports in the literature. When quarterly house price indices exhibit negative autocorrelation, autocorrelation shows a positive connection to...

Dynamic correlation models demonstrate that the relationship between interest rates and housing prices is non-constant. Estimates reveal statistically significant time fluctuations in correlations between housing price indexes and Treasury bonds, the S&P 500 Index, and stock prices of...