Table 1. Average derivative estimates...

Table 1.

Average derivative estimates for the effect of HSI on housing price returns and volatility for the USA using monthly data: 2004:01–2021:01

Quantile	HR	HR²
0.10	0.8934	0.0637
0.20	0.8667	0.1696
0.30	0.7906	0.1680
0.40	0.7151	0.2372
0.50	0.7775	0.2351
0.60	0.7213	0.2635
0.70	0.6685	0.2758
0.80	0.6361	0.2767
0.90	0.5778	0.2175

Notes:

Entries correspond to average derivative (AD) estimates of the sign of the effect of HSI on to housing price returns (HR) and its volatility (HR²) at a particular quantile

Source: Table created by authors

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