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How Long Do Housing Cycles Last? a Duration Analysis for 19 OECD Countries

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  • Philippe Bracke

Abstract

This paper analyzes the duration of house price upturns and downturns in the last 40 years for 19 OECD countries. I provide two sets of results, one pertaining to the average length and the other to the length distribution. On average, upturns are longer than downturns, but the difference disappears once the last house price boom is excluded. In terms of length distribution, upturns (but not downturns) are more likely to end as their duration increases. This duration dependence is consistent with a boom-bust view of house price dynamics, where booms represent departures from fundamentals that are increasingly difficult to sustain.

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Bibliographic Info

Paper provided by International Monetary Fund in its series IMF Working Papers with number 11/231.

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Length: 29
Date of creation: 01 Oct 2011
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Handle: RePEc:imf:imfwpa:11/231

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Keywords: Housing prices; OECD; Price adjustments; Price increases; dependence; equation; probability; statistics; descriptive statistics; correlation; forecasting; functional form; standard errors; standard deviations; random walks; equations; markov process; time series; sample mean; stochastic processes; econometrics; autocorrelation; probabilities; polynomial; financial statistics; independent variable; dummy variable; stata; random walk; linear models; markov processes; linear time; probability model; linear time trend; survey; psychology;

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Cited by:
  1. Kevin Hjortshøj O'Rourke & Augustin S. Benetrix and Barry Eichengreen, 2011. "How Housing Slumps End," Economics Series Working Papers 577, University of Oxford, Department of Economics.
  2. Vitor Castro & Megumi Kubota, 2013. "Duration dependence and change-points in the likelihood of credit booms ending," GEMF Working Papers 2013-17, GEMF - Faculdade de Economia, Universidade de Coimbra.
  3. Robert J. Hill & Iqbal A. Syed, 2014. "Hedonic Price-Rent Ratios, User Cost, and Departures from Equilibrium in the Housing Market," Graz Economics Papers 2014-03, University of Graz, Department of Economics.
  4. 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.
  5. 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.
  6. 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.

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