Revisiting International House Price Convergence Using House Price Level Data

Christophe André, Christina Christou (christina.christou@ouc.ac.cy) and Rangan Gupta
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Christina Christou: Open University of Cyprus, School of Economics and Management, Giannou Kranidioti 56, 2220 Latsia, Cyprus

No 202226, Working Papers from University of Pretoria, Department of Economics

Abstract: The literature on house price convergence largely relies on house price indices, based in an arbitrary year, rather than on actual price levels. This is essentially due to the scarcity of comparable house price level data. However, this severely constrains the analysis. In particular, it often forces to discard a large part of the data sample, which leads to a great loss of information and hampers analysis on sub-periods. In this paper, we combine the price level estimates produced by Bricongne et al. (2019) with long OECD house price series to analyse house price convergence across 18 OECD countries. Applying the Phillips and Sul (2007) procedure, we find convergence in OECD nominal house prices, but two separate convergence clubs in real house prices. We find some convergence in euro area real house prices, but no evidence of strengthening after the introduction of the euro. β-convergence regressions (linking changes in house prices to their initial levels) point to conditional convergence, related to the evolution of gaps in real GDP per capita, long-term interest rates and population growth across countries.

Keywords: : Convergence; House prices; Housing markets; OECD; Panel data models (search for similar items in EconPapers)
JEL-codes: C33 F45 R21 R31 (search for similar items in EconPapers)
Pages: 28 pages
Date: 2022-05
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Journal Article: Revisiting international house price convergence using house price level data (2024)
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