Housing market cycles and duration dependence in the United States and Canada

Cunningham, Rose; Kolet, Ilan

doi:10.1080/00036840802584927

Cited by 35 publications

(19 citation statements)

References 21 publications

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“…In Section V, we analyze the 3 Leamer (2007) documents that there are strong linkages between cycles in housing markets and business cycles in the United States. There is evidence that the duration and amplitude of housing cycles vary widely across geographical areas and through time (Cunningham and Kolet, 2007;Hall, McDermott and Tremewan, 2006). Alvarez and others (2010) report that regional housing markets are weakly correlated in the major euro area countries.…”

Section: Introductionmentioning

confidence: 99%

Global House Price Fluctuations: Synchronization and Determinants

Hirata

Kose²,

Otrok³

et al. 2013

IMF Working Papers

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We examine the properties of house price fluctuations across eighteen advanced economies over the past forty years. We ask two specific questions: First, how synchronized are housing cycles across these countries? Second, what are the main shocks driving movements in global house prices? To address these questions, we first estimate the global components in house prices and various macroeconomic and financial variables. We then evaluate the roles played by a variety of global shocks, including shocks to interest rates, monetary policy, productivity, credit, and uncertainty, in explaining house price fluctuations using a wide range of FAVAR models. We find that house prices are synchronized across countries, and the degree of synchronization has increased over time. Global interest rate shocks tend to have a significant negative effect on global house prices whereas global monetary policy shocks per se do not appear to have a sizeable impact. Interestingly, uncertainty shocks seem to be important in explaining fluctuations in global house prices.

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Section: Introductionmentioning

confidence: 99%

Global House Price Fluctuations: Synchronization and Determinants

Hirata

Kose²,

Otrok³

et al. 2013

IMF Working Papers

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“…As for housing busts (downturns), no evidence of such positive duration dependence has been found (Cunningham and Kolet, 2011). Bracke (2013) uses a discretetime duration model and also suggests the existence of lagged duration dependence, as housing downturns are less likely to end when the previous upturn was abnormally long.…”

Section: Introductionmentioning

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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“…Otro es el test de cointegración (Campbell y Shiller, 1987;Diba y Grossman, 1988), probablemente el más empleado en vivienda (Arshanapalli y Nelson, 2008;Mikhed y Zemčík, 2009;Gattini y Hiebert, 2010;Gerdesmeier et al, 2012). Otros dos son el denominado test de West (1987) y el test de rachas o de supervivencia (McQueen y Thorley, 1994;Cunningham y Kolet, 2011). Y, por último, existe una batería de investigaciones basadas en regresiones (Tsatsaronis y Zhu, 2004;Machado y Sousa, 2006;McMillen, 2008;Zietz et al, 2008;Posedel y Vizek, 2009).…”

Section: Métodos De Análisis Detección Y Clasificación De Burbujasunclassified

La burbuja residencial en Europa (2000-2015). Dimensión y tipos

Meda

2018

dag

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Le but de cet article est d'identifier les pays de l'Espace Économique Européen (EEE) qui ont connu une bulle du logement au cours de la période 2000-2015, et de les classer en fonction de l'évolution des fondamentaux pendant la période de hausse du marché grâce à l'analyse de cluster. Selon les critères du Fonds Monétaire International, deux pays de l'EEE sur trois ont connu une bulle du logement dans cette période, avec une perte moyenne de valeur de 38% depuis le pic. L'analyse de cluster révèle l'existence de trois types de bulles du logement en Europe lors de cette période : l'une qui comprend tous les pays post-communistes d'Europe centrale et orientale ; l'autre formée par Irlande, la Grèce, l'Islande, l'Espagne, Chypre, l'Italie et Malte ; et une troisième composée par le Danemark, les Pays-Bas et le Royaume-Uni. Mots-clés: logement; bulle du logement; prix du logement; marché du logement; politique du logement Abstract. The housing bubble in Europe (2000-2015): Dimension and types The aim of this article is to identify the European Economic Area (EEA) countries that experienced a housing bubble during the period 2000-2015; and classify them according to the evolution of the fundamentals of house prices during the rising phase through cluster analysis. According to International Monetary Fund criteria, two out of three EEA countries experienced a housing bubble in this period, and the price corrections during housing price bust averaged 38%. The cluster analysis indicates the existence of three types of housing bubbles in Europe during this period: one encompasses all post-communist EEA countries from Central and Eastern Europe; a second one consisting of Ireland,

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Housing market cycles and duration dependence in the United States and Canada

Cited by 35 publications

References 21 publications

Global House Price Fluctuations: Synchronization and Determinants

Global House Price Fluctuations: Synchronization and Determinants

Booms, Busts, and Normal Times in the Housing Market

La burbuja residencial en Europa (2000-2015). Dimensión y tipos

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