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How long do housing cycles last? A duration analysis for 19 OECD countries

Bracke, Philippe (2013) How long do housing cycles last? A duration analysis for 19 OECD countries. Journal of Housing Economics, 22 (3). pp. 213-230. ISSN 1051-1377

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Identification Number: 10.1016/j.jhe.2013.06.001

Abstract

This paper analyzes the duration of house price upturns and downturns in the last 40 years for 19 OECD countries. Both upturns and downturns display duration dependence: they are more likely to end as their duration increases. Downturns display also lagged duration dependence: they are less likely to end if the previous upturn was particularly long. These patterns are consistent with a boom-bust view of housing price dynamics, where booms represent departures from fundamentals that are increasingly difficult to sustain and busts serve as readjustment periods. Findings are robust to the inclusion of macroeconomic variables, which allow for the estimation of additional determinants of house price expansions and contractions.

Item Type: Article
Official URL: http://www.journals.elsevier.com/journal-of-housin...
Additional Information: © 2013 Elsevier B.V.
Divisions: Spatial Economics Research Centre
Subjects: H Social Sciences > HC Economic History and Conditions
H Social Sciences > HG Finance
JEL classification: C - Mathematical and Quantitative Methods > C4 - Econometric and Statistical Methods: Special Topics > C41 - Duration Analysis
E - Macroeconomics and Monetary Economics > E3 - Prices, Business Fluctuations, and Cycles > E32 - Business Fluctuations; Cycles
Sets: Research centres and groups > Spatial Economics Research Centre
Date Deposited: 16 Jul 2013 11:27
Last Modified: 20 Sep 2019 01:43
URI: http://eprints.lse.ac.uk/id/eprint/51099

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