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

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  • Bracke, Philippe

Abstract

This paper analyzes the duration of house price upturns and downturns in the last 40years 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.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Housing Economics.

Volume (Year): 22 (2013)
Issue (Month): 3 ()
Pages: 213-230

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Handle: RePEc:eee:jhouse:v:22:y:2013:i:3:p:213-230

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Web page: http://www.elsevier.com/locate/inca/622881

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Keywords: Housing cycles; House prices; Duration dependence;

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Cited by:
  1. Vítor Castro & Megumi Kubota, 2013. "Duration dependence and change-points in the likelihood of credit booms ending," NIPE Working Papers 09/2013, NIPE - Universidade do Minho.
  2. Aquiles Arrieta Barcasnegras, 2012. "La relación entre los flujos de capital y el precio de la vivienda: el caso colombiano," REVISTA DE ECONOMÍA DEL CARIBE, UNIVERSIDAD DEL NORTE.
  3. Agustin Benetrix & Barry Eichengreen & Kevin H. O'Rourke, 2011. "How Housing Slumps End," The Institute for International Integration Studies Discussion Paper Series iiisdp384, IIIS.
  4. Robert J. Hill & Iqbal A. Syed, 2012. "Hedonic Price-Rent Ratios, User Cost, and Departures from Equilibrium in the Housing Market," Graz Economics Papers 2012-08, University of Graz, Department of Economics.
  5. David Lodge & Marta Rodriguez-Vives, 2013. "How long can austerity persist? The factors that sustain fiscal consolidations," European Journal of Government and Economics, Europa Grande, vol. 2(1), pages 5-24, June.
  6. Augustyniak, Hanna & Łaszek, Jacek & Olszewski, Krzysztof & Waszczuk, Joanna, 2012. "Cykle na rynku nieruchomości mieszkaniowych i komercyjnych, ryzyko dla inwestora oraz potrzeba adekwatnej i ostrożnej wyceny
    [Cycles on the housing and commercial real estate market, risks and th
    ," MPRA Paper 41070, University Library of Munich, Germany.

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