Macroeconomic determinants of international housing markets
Zeno Adams () and
Roland Füss ()
Journal of Housing Economics, 2010, vol. 19, issue 1, 38-50
This paper examines the long-term impact and short-term dynamics of macroeconomic variables on international housing prices. Since adequate housing market data are generally not available and usually of low frequency we apply a panel cointegration analysis consisting of 15 countries over a period of 30 years. Pooling the observations allows us to overcome the data restrictions which researchers face when testing long-term relationships among single real estate time series. This study does not only confirm results from previous studies, but also allows for a comparison of single country estimations in an integrated equilibrium framework. The empirical results indicate house prices to increase in the long-run by 0.6% in response to a 1% increase in economic activity while construction costs and the long-term interest rate show average long-term effects of approximately 0.6% and -0.3%, respectively. Contrary to current literature our estimates suggest only about 16% adjustment per year. Thus the time to full recovery may be much slower than previously stated, so that deviations from the long-term equilibrium result in a dynamic adjustment process that may take up to 14 years.
Keywords: Housing; market; Macroeconomy; Panel; cointegration; Dynamic; OLS; Dynamic; adjustment; process (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (103) Track citations by RSS feed
Downloads: (external link)
Full text for ScienceDirect subscribers only
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:eee:jhouse:v:19:y:2010:i:1:p:38-50
Access Statistics for this article
Journal of Housing Economics is currently edited by H. O. Pollakowski
More articles in Journal of Housing Economics from Elsevier
Bibliographic data for series maintained by Catherine Liu ().