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HOW LONG DO HOUSING CYCLES LAST? A DURATION ANALYSIS FOR EMERGING ECONOMIES

Maryam Akbari Nasiri ()
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Maryam Akbari Nasiri: Victorian Department of Treasury and Finance

Bulletin of Monetary Economics and Banking, 2020, vol. 23, issue 2, 179-200

Abstract: In this paper, I empirically study the amplitudes and durations of housing cycles in selected emerging countries. Using the Harding and Pagan (2002) approach, I identify peaks and troughs of house prices for 10 countries. I find that, on average, housing expansions last longer and have greater amplitudes than housing contractions. I, then, estimate a discrete time survival model of housing expansions and contractions. I show that both contractions and expansions have positive duration dependence. I find that inflation and economic growth are useful predictors for the end of periods of expansions and contractions.

Keywords: Housing cycles; Duration; Amplitude; Economic growth (search for similar items in EconPapers)
JEL-codes: R30 F44 (search for similar items in EconPapers)
Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:idn:journl:v:23:y:2020:i:2b:p:179-200

DOI: 10.21098/bemp.v23i2.1295

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