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Interest Rate Elasticity of Residential Housing Prices

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Author Info

  • Plamen Iossifov
  • Martin Cihák
  • Amar Shanghavi

Abstract

We examine the interest rate elasticity of housing prices, advancingthe empirical literature in two directions. First, we take a commonly used cross-country panel dataset and evaluate the housing price equation using a consistent estimator in the presence of endogenous explanatory variables and a lagged dependent variable. Second, we carry-out a novel analysis of determinants of residential housing prices in a cross-section of countries. Our results show that the short-term interest rate, and hence monetary policy, has a sizable impact on residential housing prices.

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Bibliographic Info

Paper provided by International Monetary Fund in its series IMF Working Papers with number 08/247.

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Length: 32
Date of creation: 01 Oct 2008
Date of revision:
Handle: RePEc:imf:imfwpa:08/247

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Postal: International Monetary Fund, Washington, DC USA
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Fax: (202) 623-4661
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Web page: http://www.imf.org/external/pubind.htm
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Related research

Keywords: Housing prices; Real estate prices; Economic models; equation; real estate; equations; regression analysis; statistics; standard errors; autocorrelation; stata; survey; correlation; dummy variables; missing observations; housing construction; instrumental variables; supply equations; measurement errors; optimization; cointegration; real estate markets; predictions; econometrics; real estate market; covariance; land prices; explanatory power; construction costs; real estate tax; simultaneous equations; statistical techniques; property values; outlier; real estate price; property taxes; correlation analysis; consistent estimator; estimation method; office buildings; finite sample; estimation procedure; scatter plot;

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Citations

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Cited by:
  1. Ghosh, Saibal, 2010. "Credit Growth, Bank Soundness and Financial Fragility: Evidence from Indian Banking Sector," MPRA Paper 24715, University Library of Munich, Germany.
  2. Obstfeld, Maurice & Rogoff, Kenneth, 2009. "Global imbalances and the financial crisis: products of common causes," Proceedings, Federal Reserve Bank of San Francisco, issue Oct, pages 131-172.
  3. Abdul Aziz, Ahmad Faizal, 2011. "Causality of Residential Properties Price Movements in Malaysia," MPRA Paper 47682, University Library of Munich, Germany.
  4. Koetter, Michael & Poghosyan, Tigran, 2010. "Real estate prices and bank stability," Journal of Banking & Finance, Elsevier, vol. 34(6), pages 1129-1138, June.
  5. Philip Arestis & Ana Rosa Gonzalez, 2013. "Modeling the Housing Market in OECD Countries," Economics Working Paper Archive wp_764, Levy Economics Institute.
  6. Serven, Luis & Nguyen, Ha, 2010. "Global imbalances before and after the global crisis," Policy Research Working Paper Series 5354, The World Bank.
  7. Luis M. Cubeddu & Camilo Ernesto Tovar Mora & Evridiki Tsounta, 2012. "Latin America," IMF Working Papers 12/193, International Monetary Fund.

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