It is a well-known stylized fact that the distributions of financial asset returns are non-normal and fat-tailed. In this study, we explore whether this stylized fact also applies to the log changes in house prices. Using house price indices data for 16 Organization for Economic Cooperation and Development countries, we find that there is an apparent tail-fatness in the empirical distribution of log changes in house prices. Furthermore, the Student's t provides an adequate fit for almost all the house price indices under consideration.
|Number of pages||5|
|Journal||Applied Economics Letters|
|Publication status||Published - 2010|