IDEAS home Printed from https://ideas.repec.org/a/chb/bcchec/v18y2015i1p4-24.html
   My bibliography  Save this article

Housing prices and macroeconomic factors: evidence from Chile

Author

Listed:
  • Carmen Silva
  • Camilo Vio

Abstract

This paper analyzes the housing prices in Chile by using a reduced form model of supply and demand for housing space that includes macroeconomic variables to explain its behavior. The empirical analysis is carried out for the national housing price index in Chile, published by the Central Bank of Chile, using quarterly data for the period 2002.I to 2013.I. The main results confirm previous findings in the literature for Chile and other countries. First, there is a significant long-run relationship between housing prices and macroeconomic variables; specifically, disposable income, long-term interest rate, and supply factors, such as construction costs. Second, the speed of adjustment to equilibrium is high: 90% of the gap from equilibrium closes at three quarters.

Suggested Citation

  • Carmen Silva & Camilo Vio, 2015. "Housing prices and macroeconomic factors: evidence from Chile," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 18(1), pages 4-24, April.
  • Handle: RePEc:chb:bcchec:v:18:y:2015:i:1:p:4-24
    as

    Download full text from publisher

    File URL: https://si2.bcentral.cl/public/pdf/revista-economia/2015/abr/recv18n1abr2015-pp4-24.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Klaus Adam & Pei Kuang & Albert Marcet, 2012. "House Price Booms and the Current Account," NBER Macroeconomics Annual, University of Chicago Press, vol. 26(1), pages 77-122.
    2. Adams, Zeno & Füss, Roland, 2010. "Macroeconomic determinants of international housing markets," Journal of Housing Economics, Elsevier, vol. 19(1), pages 38-50, March.
    3. BCCh., 2014. "Índice de Precios de Vivienda en Chile: Metodología y Resultados," Economic Statistics Series 107, Central Bank of Chile.
    4. Mikhed, Vyacheslav & Zemcík, Petr, 2009. "Do house prices reflect fundamentals? Aggregate and panel data evidence," Journal of Housing Economics, Elsevier, vol. 18(2), pages 140-149, June.
    5. Mr. Luis M. Cubeddu & Mr. Camilo E Tovar Mora & Ms. Evridiki Tsounta, 2012. "Latin America: Vulnerabilities Under Construction?," IMF Working Papers 2012/193, International Monetary Fund.
    6. Stock, James H & Watson, Mark W, 1993. "A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems," Econometrica, Econometric Society, vol. 61(4), pages 783-820, July.
    7. Matteo Iacoviello & Stefano Neri, 2008. "Housing market spillovers : evidence from an estimated DSGE model," Working Paper Research 145, National Bank of Belgium.
    8. Alessio Ciarlone, 2015. "House price cycles in emerging economies," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 32(1), pages 17-52, March.
    9. repec:arz:wpaper:eres2009-275 is not listed on IDEAS
    10. Matteo Iacoviello & Stefano Neri, 2010. "Housing Market Spillovers: Evidence from an Estimated DSGE Model," American Economic Journal: Macroeconomics, American Economic Association, vol. 2(2), pages 125-164, April.
    11. Inder, Brett, 1993. "Estimating long-run relationships in economics : A comparison of different approaches," Journal of Econometrics, Elsevier, vol. 57(1-3), pages 53-68.
    12. Davidson, Russell & MacKinnon, James G., 1993. "Estimation and Inference in Econometrics," OUP Catalogue, Oxford University Press, number 9780195060119, Decembrie.
    13. Petr Zemcik & Vyacheslav Mikhed, 2009. "Do House Prices Reflect Fundamentals? Aggregate and Panel Data Evidence," ERES eres2009_275, European Real Estate Society (ERES).
    14. Roberto Steiner & Natalia Salazar Ferro & Alejandro Becerra & Jaime Ramírez, 2012. "¿Qué tan desalineados están los precios de la vivienda en Colombia?," Informes de Investigación 10716, Fedesarrollo.
    15. John V Duca & John Muellbauer & Anthony Murphy, 2012. "Credit standards and the bubble in US house prices: new econometric evidence," BIS Papers chapters, in: Bank for International Settlements (ed.), Property markets and financial stability, volume 64, pages 83-89, Bank for International Settlements.
    16. Dennis R. Capozza & Patric H. Hendershott & Charlotte Mack & Christopher J. Mayer, 2002. "Determinants of Real House Price Dynamics," NBER Working Papers 9262, National Bureau of Economic Research, Inc.
    17. Ms. Evridiki Tsounta, 2009. "Is the Canadian Housing Market Overvalued? A Post-crisis Assessment," IMF Working Papers 2009/235, International Monetary Fund.
    18. Andrés Sagner, 2009. "Determinantes del Precio de Viviendas en Chile," Working Papers Central Bank of Chile 549, Central Bank of Chile.
    19. Arthur Korteweg & Morten Sorensen, 2012. "Estimating Loan-to-Value and Foreclosure Behavior," NBER Working Papers 17882, National Bureau of Economic Research, Inc.
    20. Eloisa T. Glindro & Tientip Subhanij & Jessica Szeto & Haibin Zhu, 2011. "Determinants of House Prices in Nine Asia-Pacific Economies," International Journal of Central Banking, International Journal of Central Banking, vol. 7(3), pages 163-204, September.
    21. Browne, Frank & Conefrey, Thomas & Kennedy, Gerard, 2013. "Understanding Irish house price movements - a user cost of capital approach," Research Technical Papers 04/RT/13, Central Bank of Ireland.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Ivan Nikoliæ, 2015. "Price determinants of newly built dwelling in Serbia," Working papers 29, National Bank of Serbia.
    2. Theodore Panagiotidis & Panagiotis Printzis, 2016. "On the macroeconomic determinants of the housing market in Greece: a VECM approach," International Economics and Economic Policy, Springer, vol. 13(3), pages 387-409, July.
    3. repec:nsb:wpaper:29 is not listed on IDEAS
    4. Plakandaras, Vasilios & Gupta, Rangan & Gogas, Periklis & Papadimitriou, Theophilos, 2015. "Forecasting the U.S. real house price index," Economic Modelling, Elsevier, vol. 45(C), pages 259-267.
    5. Goodness C. Aye & Rangan Gupta, 2013. "Forecasting Real House Price of the U.S.: An Analysis Covering 1890 to 2012," Working Papers 201362, University of Pretoria, Department of Economics.
    6. Engerstam, Sviatlana, 2020. "Macroeconomic determinants of apartment prices in Swedish and German cities," Working Paper Series 20/2, Royal Institute of Technology, Department of Real Estate and Construction Management & Banking and Finance.
    7. repec:ipg:wpaper:2014-473 is not listed on IDEAS
    8. Lambertini, Luisa & Mendicino, Caterina & Punzi, Maria Teresa, 2017. "Expectations-driven cycles in the housing market," Economic Modelling, Elsevier, vol. 60(C), pages 297-312.
    9. Tripathi, Sabyasachi, 2019. "Macroeconomic Determinants of Housing Prices: A Cross Country Level Analysis," MPRA Paper 98089, University Library of Munich, Germany.
    10. Jengei Hong & Doojin Ryu, 2023. "Expectations and the housing market: A model of house price dynamics," Bulletin of Economic Research, Wiley Blackwell, vol. 75(4), pages 1242-1266, October.
    11. Deng, Yongheng & Girardin, Eric & Joyeux, Roselyne, 2018. "Fundamentals and the volatility of real estate prices in China: A sequential modelling strategy," China Economic Review, Elsevier, vol. 48(C), pages 205-222.
    12. Rosa Drift & Jan Haan & Peter Boelhouwer, 2024. "Forecasting House Prices through Credit Conditions: A Bayesian Approach," Computational Economics, Springer;Society for Computational Economics, vol. 64(6), pages 3381-3405, December.
    13. Mr. Vladimir Klyuev, 2008. "What Goes Up Must Come Down? House Price Dynamics in the United States," IMF Working Papers 2008/187, International Monetary Fund.
    14. Zhu, Bing & Betzinger, Michael & Sebastian, Steffen, 2017. "Housing market stability, mortgage market structure, and monetary policy: Evidence from the euro area," Journal of Housing Economics, Elsevier, vol. 37(C), pages 1-21.
    15. Sofoklis Vogiazas & Constantinos Alexiou, 2017. "Determinants of Housing Prices and Bubble Detection: Evidence from Seven Advanced Economies," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 45(1), pages 119-131, March.
    16. Kuang, Pei, 2014. "A model of housing and credit cycles with imperfect market knowledge," European Economic Review, Elsevier, vol. 70(C), pages 419-437.
    17. Pei Kuang, 2013. "Imperfect Knowledge About Asset Prices and Credit Cycles," Discussion Papers 13-02, Department of Economics, University of Birmingham.
    18. Mr. Shengzu Wang & Ms. Patrizia Tumbarello, 2010. "What Drives House Prices in Australia? A+L4584 Cross-Country Approach," IMF Working Papers 2010/291, International Monetary Fund.
    19. Ren, Yu & Xiong, Cong & Yuan, Yufei, 2012. "House price bubbles in China," China Economic Review, Elsevier, vol. 23(4), pages 786-800.
    20. Pedro Gete, 2015. "Housing demands, savings gluts and current account dynamics," Globalization Institute Working Papers 221, Federal Reserve Bank of Dallas.
    21. Maas, Daniel & Mayer, Eric & Rüth, Sebastian K., 2018. "Current account dynamics and the housing cycle in Spain," Journal of International Money and Finance, Elsevier, vol. 87(C), pages 22-43.
    22. Cesa-Bianchi, Ambrogio, 2013. "Housing cycles and macroeconomic fluctuations: A global perspective," Journal of International Money and Finance, Elsevier, vol. 37(C), pages 215-238.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:chb:bcchec:v:18:y:2015:i:1:p:4-24. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Fredherick Sanllehi (email available below). General contact details of provider: https://edirc.repec.org/data/bccgvcl.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.