Modelling the housing market in OECD countries
Recent episodes of housing bubbles, which occurred in several economies after the burst of the United States housing market, suggest studying the evolution of housing prices from a global perspective. We utilise a theoretical model for the purposes of this contribution, which identifies the main drivers of housing price appreciation, such as, for example, income, residential investment, financial elements, fiscal policy and demographics. In a second stage of our analysis, we test our theoretical hypothesis by means of a sample of 18 OECD countries from 1970 to 2011. We employ the vector error correction econometric technique in terms of our empirical analysis, which permits us to model the long-run equilibrium relationship and the short-run dynamics, which also helps to account for endogeneity and reverse causality problems.
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Volume (Year): 28 (2014)
Issue (Month): 2 (March)
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References listed on IDEAS
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- Bharat Barot & Zan Yang, 2004. "House Prices and Housing Investment in Sweden and the UK. Econometric analysis for the period 1970-1998," Macroeconomics 0409022, EconWPA.
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- Vladimir Klyuev, 2008. "What Goes Up Must Come Down? House Price Dynamics in the United States," IMF Working Papers 08/187, International Monetary Fund.
- Nobili, Andrea & Zollino, Francesco, 2017.
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- Plamen K Iossifov & Martin Cihak & Amar Shanghavi, 2008. "Interest Rate Elasticity of Residential Housing Prices," IMF Working Papers 08/247, International Monetary Fund.
- Gavin Cameron & John Muellbauer, 2001. "Earnings, unemployment, and housing in Britain," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(3), pages 203-220.
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