The Effect of Economic Uncertainty on the Housing Market Cycle
Goodness Aye (),
Matthew Clance () and
Rangan Gupta ()
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Goodness Aye: Department of Economics, University of Pretoria, Pretoria, South Africa
No 201757, Working Papers from University of Pretoria, Department of Economics
This paper examines the spill over effect of economic uncertainty on the duration probability of housing market booms, busts and normal times among 12 OECD countries. Quarterly data from 1985 to 2012 were used. Based on a discrete-time duration (hazard) model, we find that the probability of exiting housing market busts increases with higher economic uncertainty in a statistically significant fashion. Uncertainty, however, is not found to influence the likelihood of leaving booms and normal times. Our results tend to suggest that housing serves as possible hedge against uncertainty.
Keywords: Housing Market Cycles; Uncertainty; Hazard Model (search for similar items in EconPapers)
JEL-codes: C41 E32 E51 E52 R31 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-mac and nep-ure
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Persistent link: https://EconPapers.repec.org/RePEc:pre:wpaper:201757
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