 Booms, Busts, and Normal Times in the Housing MarketLuca Agnello (), Vitor Castro and Ricardo Sousa Journal of Business & Economic Statistics, 2015, vol. 33, issue 1, 25-45 Abstract: We assess the existence of duration dependence in the likelihood of an end in housing booms, busts, and normal times. Using data for 20 industrial countries and a continuous-time Weibull duration model, we find evidence of positive duration dependence suggesting that housing market cycles have become longer over the last decades. Then, we extend the baseline Weibull model and allow for the presence of a change-point in the duration dependence parameter. We show that positive duration dependence is present in booms and busts that last less than 26 quarters, but that does not seem to be the case for longer phases of the housing market cycle. For normal times, no evidence of change-points is found. Finally, the empirical findings uncover positive duration dependence in housing market booms of European and non-European countries and housing busts of European countries. In addition, they reveal that while housing booms have similar length in European and non-European countries, housing busts are typically shorter in European countries. Date: 2015 Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:taf:jnlbes:v:33:y:2015:i:1:p:25-45 Ordering information: This journal article can be ordered from DOI: 10.1080/07350015.2014.918545 Access Statistics for this article Journal of Business & Economic Statistics is currently edited by Eric Sampson, Rong Chen and Shakeeb Khan More articles in Journal of Business & Economic Statistics from Taylor & Francis Journals |
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