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Download fileEconomic activity, credit market conditions and the housing market
journal contribution
posted on 2017-02-16, 11:46 authored by Luca Agnello, Vitor CastroVitor Castro, Ricardo M. SousaIn this paper, we assess the characteristics of the housing market and its main determinants. Using data for 20 industrial countries over the period 1970Q1-2012Q2 and a discrete-time Weibull duration model, we find that the likelihood of the end of a housing boom or a housing bust increases over time. Additionally, we show that the different phases of the housing market cycle are strongly dependent on the economic activity, but credit market conditions are particularly important in the case of housing booms. The empirical findings also indicate that while
housing booms have similar length in European and non-European countries, housing busts are
typically shorter in European countries. The use of a more flexible specification for the hazard function that is based on cubic splines suggests that it evolves in a nonlinear way. From a policy perspective, our study can be useful for predicting the timing and the length of housing boom-bust cycles. Moreover, it highlights the importance of monetary policy by influencing lending rates and affecting the likelihood of occurrence of housing booms.
History
School
- Business and Economics
Department
- Economics
Published in
Macroeconomic DynamicsCitation
AGNELLO, L., CASTRO, V. and SOUSA, R.M., 2018. Economic activity, credit market conditions and the housing market. Macroeconomic Dynamics, 22(7), pp. 1769-1789.Publisher
© Cambridge University Press (CUP)Version
- AM (Accepted Manuscript)
Publisher statement
This work is made available according to the conditions of the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International (CC BY-NC-ND 4.0) licence. Full details of this licence are available at: https://creativecommons.org/licenses/by-nc-nd/4.0/Acceptance date
2016-09-30Publication date
2017-07-03Notes
This paper was accepted for publication in the journal Macroeconomic Dynamics and the definitive published version is available at https://doi.org/10.1017/S1365100516000869ISSN
1469-8056Publisher version
Language
- en