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The Ups and Downs of New Zealand House Prices

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Author Info
Viv B. Hall () (Victoria University of Wellington)
John McDermott () (Victoria University of Wellington)

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Abstract

This paper identifies the expansion and contraction phases of New Zealand's national and regional house prices, by employing techniques typically used to study cycles in real activity, the so-called Classical cycle dating method. We then enquire into the nature of the cycles, addressing five questions: (1) What are the New Zealand and regional house price cycles, and do the regional cycles differ from the national cycle?; (2) What are the typical durations, magnitudes and shapes of these house price cycles?; (3) Do cycles in house prices match cycles in economic activity, at either national or regional levels?; (4) Does it matter which of the two main sets of house price series are used? i.e. Quotable Value New Zealand (QVNZ) or Real Estate Institute of New Zealand (REINZ)?; and (5) Does the sample period matter? Findings are evaluated in the context of work by Grimes, Aitken and Kerr (2004), and Hall and McDermott (2005). Avenues for further research are suggested.

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Publisher Info
Paper provided by Motu Economic and Public Policy Research in its series Working Papers with number 06_03.

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Length: 40 pages
Date of creation: Jul 2006
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Handle: RePEc:mtu:wpaper:06_03

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Web page: http://www.motu.org.nz
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Related research
Keywords: House price cycles; regional business cycles; classical business cycle; New Zealand;

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Find related papers by JEL classification:
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions
E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
R11 - Urban, Rural, and Regional Economics - - General Regional Economics - - - Analysis of Growth, Development, and Changes
R15 - Urban, Rural, and Regional Economics - - General Regional Economics - - - Econometric and Input-Output Models; Other Methods
R21 - Urban, Rural, and Regional Economics - - Household Analysis - - - Housing Demand

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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Arthur Grimes & Andrew Aitken & Suzi Kerr, 2004. "House Price Efficiency: Expectations, Sales, Symmetry," Urban/Regional 0408001, EconWPA. [Downloadable!]
  2. Harding, Don & Pagan, Adrian, 2006. "Synchronization of cycles," Journal of Econometrics, Elsevier, vol. 132(1), pages 59-79, May. [Downloadable!] (restricted)
  3. Viv B Hall & C. John McDermott, 2005. "Regional business cycles in New Zealand:Do they exist? What might drive them?," Urban/Regional 0509013, EconWPA. [Downloadable!]
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  4. Cashin, Paul & McDermott, C. John & Scott, Alasdair, 2002. "Booms and slumps in world commodity prices," Journal of Development Economics, Elsevier, vol. 69(1), pages 277-296, October. [Downloadable!] (restricted)
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  5. King, R.G. & Plosser, C.I., 1989. "Real Business Cycles And The Test Of The Adelmans," RCER Working Papers 204, University of Rochester - Center for Economic Research (RCER).
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  6. Hall, Viv B. & McDermott, C. John, 2009. "The New Zealand Business Cycle," Econometric Theory, Cambridge University Press, vol. 25(04), pages 1050-1069, August. [Downloadable!]
  7. Canova, Fabio, 1998. "Detrending and business cycle facts," Journal of Monetary Economics, Elsevier, vol. 41(3), pages 475-512, May. [Downloadable!] (restricted)
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  8. Harding, Don & Pagan, Adrian, 2002. "Dissecting the cycle: a methodological investigation," Journal of Monetary Economics, Elsevier, vol. 49(2), pages 365-381, March. [Downloadable!] (restricted)
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  9. Arthur Grimes & Suzi Kerr & Andrew Aitken, 2003. "Housing and Economic Adjustment," Urban/Regional 0310006, EconWPA. [Downloadable!]
    Other versions:
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