Housing market cycles and duration dependence in the United States and Canada

Rose Cunningham and Ilan Kolet

Applied Economics, 2011, vol. 43, issue 5, 569-586

Abstract: Housing wealth is a large component of households' total wealth and plays an important role in aggregate business cycles. In this article, we explore data on real house price cycles at the aggregate level and city level for the US and Canada. Using a panel of 137 cities, we examine the duration and characteristics of housing market cycles in North America. We find that North American housing cycles are long, averaging 5 years of expansion and 4 years of contraction. We estimate a discrete time survival model with a probit specification for house price expansions and contractions. This model allows us to test for duration dependence. We find that US housing market expansions have positive duration dependence since their exit probabilities increase with duration, while contractions seem to have no duration dependence. Canadian house price cycles did not exhibit duration dependence. Standard determinants of house prices (interest rates, income and population growth) are included as controls.

Date: 2011
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (20)

Downloads: (external link)
http://www.tandfonline.com/doi/abs/10.1080/00036840802584927 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:applec:v:43:y:2011:i:5:p:569-586

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEC20

DOI: 10.1080/00036840802584927

Access Statistics for this article

Applied Economics is currently edited by Anita Phillips

More articles in Applied Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().