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Estimating a stock-flow model for the Swiss housing market

Author Info

Listed author(s):
  • Elizabeth Steiner

Abstract

This paper analyses the development of housing market imbalances, housing prices and residential investment in Switzerland within a stock-flow framework. In the long run, the desired level of residential capital stock and the existing residential capital stock revert. Empirical results indicate, however, that housing demand can diverge from the existing supply for several years due to the slow adjustment of the residential capital stock to shocks. In the short run, the market therefore has to be cleared by price adjustments. And indeed, it can be shown empirically that changes in prices are significantly and strongly dependent on the level of stock imbalances. Furthermore, housing prices prove to be an important determinant of residential investment, which in turn drives the adjustment process of the residential capital stock towards its desired level.

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Paper provided by Swiss National Bank in its series Working Papers with number 2010-08.

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Length: 41 pages
Date of creation: 2010
Handle: RePEc:snb:snbwpa:2010-08
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Keywords: Housing Demand; Housing Supply; Residential Investment; Market disequilibrium; Housing prices;

Other versions of this item:

Find related papers by JEL classification:
  • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
  • E22 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Investment; Capital; Intangible Capital; Capacity
  • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
  • R21 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Household Analysis - - - Housing Demand
  • R31 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location - - - Housing Supply and Markets

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  1. Christian Hott, 2007. "Explaining house price fluctuations," Proceedings 1055, Federal Reserve Bank of Chicago.
  2. Topel, Robert H & Rosen, Sherwin, 1988. "Housing Investment in the United States," Journal of Political Economy, University of Chicago Press, vol. 96(4), pages 718-740, August.
  3. Oecd, 2006. "Are House Prices Nearing a Peak?: A Probit Analysis for 17 OECD Countries," OECD Economics Department Working Papers 488, OECD Publishing.
  4. Rosenthal, Stuart S. & Duca, John V. & Gabriel, Stuart A., 1991. "Credit rationing and the demand for owner-occupied housing," Journal of Urban Economics, Elsevier, vol. 30(1), pages 48-63, July.
  5. Arthur Grimes & Andrew Aitken, 2006. "Housing Supply and Price Adjustment," Working Papers 06_01, Motu Economic and Public Policy Research.
  6. Frédérick Demers, 2005. "Modelling and Forecasting Housing Investment: The Case of Canada," Staff Working Papers 05-41, Bank of Canada.
  7. DiPasquale Denise & Wheaton William C., 1994. "Housing Market Dynamics and the Future of Housing Prices," Journal of Urban Economics, Elsevier, vol. 35(1), pages 1-27, January.
  8. Karol Jan Borowiecki, 2009. "The Determinants of House Prices and Construction: An Empirical Investigation of the Swiss Housing Economy," International Real Estate Review, Asian Real Estate Society, vol. 12(3), pages 193-220.
  9. Raymond W. Goldsmith, 1981. "A Tentative Secular National Balance Sheet for Switzerland," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 117(II), pages 175-187, June.
  10. Claudio Borio & Patrick McGuire, 2004. "Twin peaks in equity and housing prices?," BIS Quarterly Review, Bank for International Settlements, March.
  11. Jonathan McCarthy & Richard Peach, 2002. "Monetary policy transmission to residential investment," Economic Policy Review, Federal Reserve Bank of New York, issue May, pages 139-158.
  12. 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.
  13. Riddel, Mary, 2004. "Housing-market disequilibrium: an examination of housing-market price and stock dynamics 1967-1998," Journal of Housing Economics, Elsevier, vol. 13(2), pages 120-135, June.
  14. Barbara Rudolf & Mathias Zurlinden, 2009. "Measuring Capital Stocks and Capital Services in Switzerland," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 145(I), pages 61-105, March.
  15. Juselius, Katarina, 2006. "The Cointegrated VAR Model: Methodology and Applications," OUP Catalogue, Oxford University Press, number 9780199285679, April.
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Cited by:

  1. Gregor Bäurle & Elizabeth Steiner, 2015. "How do Individual Sectors Respond to Macroeconomic Shocks? A Structural Dynamic Factor Approach Applied to Swiss Data," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 151(III), pages 167-225, September.
  2. Antje Hildebrandt & Duy T. Huynh-Olesen & Katharina Steiner & Karin Wagner, 2013. "Residential Property Prices in Central, Eastern and Southeastern European Countries," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue 2, pages 52-76.
  3. Dirk Drechsel, 2015. "Housing Cycles in Switzerland - A Time-Varying Approach," KOF Working papers 15-381, KOF Swiss Economic Institute, ETH Zurich.

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