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Global house prices since 1950

Author

Listed:
  • Haroon Mumtaz

    (Queen Mary University of London)

  • Roman Sustek

    (Queen Mary University of London
    London School of Economics (LSE)
    Centre for Macroeconomics (CFM))

Abstract

An asset valuation approach is applied to house prices in a sample of advanced economies. The price of housing services is determined by the housing stock, population and income per capita, while allowing for housing consumption heterogeneity across age groups. These fundamentals contain persistent predictable components inferred from data. Resulting shifts in expectations about the future values of these fundamentals generate sizable and persistent house price swings. The estimated model accounts well for house prices since 1950. It accounts for the boom starting in many countries in the early 1990s as well as for the spectacular boom and bust in Japan. A decomposition into the contributing factors is carried out.

Suggested Citation

  • Haroon Mumtaz & Roman Sustek, 2023. "Global house prices since 1950," Discussion Papers 2307, Centre for Macroeconomics (CFM).
    • Handle: RePEc:cfm:wpaper:2307
    as

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    References listed on IDEAS

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    More about this item

    Keywords

    House prices; asset pricing; expectations; fundamentals; demographics;
    All these keywords.

    JEL classification:

    • E20 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - General (includes Measurement and Data)
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G50 - Financial Economics - - Household Finance - - - General
    • J11 - Labor and Demographic Economics - - Demographic Economics - - - Demographic Trends, Macroeconomic Effects, and Forecasts
    • R21 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Household Analysis - - - Housing Demand

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