House Price Dynamics: An International Empirical Perspective

Englund, Peter; Ioannides, Yannis M.

doi:10.1006/jhec.1997.0210

Cited by 196 publications

(103 citation statements)

References 16 publications

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“…Indexes of annual housing prices I it were obtained from the Bank of International Settlements (BIS), which consolidated housing prices reported for some 15 industrialized countries (see Kennedy andAndersen, 1994, or Englund andIoannides, 1997). The BIS series for the United States was quite short, so the national OFHEO-Freddie Mac series (described further below) is used for the U.S.…”

Section: A International Datamentioning

confidence: 99%

Comparing Wealth Effects: The Stock Market versus the Housing Market

Case

Quigley

Shiller

2005

Topics in Macroeconomics

879

549

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We examine the link between increases in housing wealth, financial wealth, and consumer spending. We rely upon a panel of 14 countries observed annually for various periods during the past 25 years and a panel of U.S. states observed quarterly during the 1980s and 1990s. We impute the aggregate value of owner-occupied housing, the value of financial assets, and measures of aggregate consumption for each of the geographic units over time.We estimate regression models in levels, first differences and in error-correction form, relating consumption to income and wealth measures. We find a statistically significant and rather large effect of housing wealth upon household consumption.

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Section: A International Datamentioning

confidence: 99%

Comparing Wealth Effects: The Stock Market versus the Housing Market

Case

Quigley

Shiller

2005

Topics in Macroeconomics

879

549

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“…Regional or country level and cross-country studies have typically found that housing prices are strongly in ‡uenced by business cycle ‡uctuations, being driven by fundamentals such as income growth, industrial production and employment rate (Ceron and Suarez, 2006;Hwang and Quigley, 2006). Others have highlighted the importance of …nancial variables, such as the interest rate and the monetary aggregates or the availability of credit (Gyourko and Keim, 1992;Englund and Ioannides, 1997).…”

Section: Literature Reviewmentioning

confidence: 99%

Booms, Busts, and Normal Times in the Housing Market

Agnello¹,

Castro

Sousa

2015

Journal of Business & Economic Statistics

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We assess the existence of duration dependence in the likelihood of an end in housing booms, busts and normal times. Using data for 20 industrial countries and a continuous-time Weibull duration model, we …nd evidence of positive duration dependence and suggesting that housing market cycles have become longer over the last decades. Then, we extend the baseline Weibull model and allow for the presence of a change-point in the duration dependence parameter. We show that positive duration dependence is present in booms and busts that last less than 26 quarters, but that does not seem to be the case for longer phases of the housing market cycle. For normal times, no evidence of change-points is found. Finally, the empirical …ndings uncover positive duration dependence in housing market booms of European and non-European countries and housing busts of European countries. In addition, they reveal that while housing booms have similar length in European and non-European countries, housing busts are typically shorter in European countries.

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“…As to the first question, the empirical literature is vast. Cross-or multi-country studies generally find that real estate prices are driven by income growth and interest rates (see for example Kennedy and Andersen, 1994, Englund and Ioannides, 1997, Kasparova and White, 2001). …”

Section: Overview Of the Literaturementioning

confidence: 99%