Macroeconomics and housing: a review of the literature

Leung, Charles Ka Yui

doi:10.1016/j.jhe.2004.09.002

Cited by 267 publications

(178 citation statements)

References 147 publications

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“…The link between the housing market developments and the macroeconomy has been extensively explored for major industrialized countries (Gilchrist and Leahy, 2002;Leung, 2004). 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).…”

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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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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“…The data covers Quarter 2:1968 to Quarter 2:2007, resulting in 157 observations. The use of almost 40 years of data is in step with empirical research documenting long cycles in property markets, with Leung (2004) referring to cycles of 20 to 30 years. The series is neither smoothed nor adjusted to allow for seasonality.…”

Section: Data and Methods Datamentioning

confidence: 99%

UK Housing Market: Time Series Processes with Independent and Identically Distributed Residuals

Willcocks

2008

J Real Estate Finan Econ

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The paper examines whether a univariate data generating process can be identified which explains the data by having residuals that are independent and identically distributed, as verified by the BDS test. The stationary first differenced natural log quarterly house price index is regressed, initially with a constant variance and then with a conditional variance. The only regression function that produces independent and identically distributed standardised residuals is a mean process based on a pure random walk format with Exponential GARCH in mean for the conditional variance. There is an indication of an asymmetric volatility feedback effect but higher frequency data is required to confirm this. There could be scope for forecasting the index but this is tempered by the reduction in the power of the BDS test if there is a non-linear conditional variance process.

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“…Given the importance of the housing market to the broader economy (Leung, 2004;Calomiris et al, 2012;Mian et al, 2011), a better understanding of the factors that may influence this market is of particular importance. While Soo (2013) and Walker (2013) quantify news media sentiment on the housing market and identify a relationship with house price changes, few studies have examined the causal impact of the media on the housing market.…”

Section: Introductionmentioning

confidence: 99%

The direction of media influence: Real-estate news and the stock market

Walker

2016

Journal of Behavioral and Experimental Finance

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Macroeconomics and housing: a review of the literature

Cited by 267 publications

References 147 publications

Booms, Busts, and Normal Times in the Housing Market

Booms, Busts, and Normal Times in the Housing Market

UK Housing Market: Time Series Processes with Independent and Identically Distributed Residuals

The direction of media influence: Real-estate news and the stock market

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