Economic activity, credit market conditions and the housing market

In this paper, we assess the characteristics of the housing market and its main determinants. Using data for 20 industrial countries over the period 1970Q1-2012Q2 and a discrete-time Weibull duration model, we find that the likelihood of the end of a housing boom or a housing bust increases over tim...

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Main Authors:	Luca Agnello, Vitor Castro, Ricardo M. Sousa
Format:	Default Article
Published:	2017
Subjects:	Other economics not elsewhere classified Housing booms and busts Duration analysis Weibull model Duration dependence Cubic splines Economics not elsewhere classified
Online Access:	https://hdl.handle.net/2134/24140
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id	rr-article-9493982
record_format	Figshare
spelling	rr-article-94939822017-07-03T00:00:00Z Economic activity, credit market conditions and the housing market Luca Agnello (4825281) Vitor Castro (3375743) Ricardo M. Sousa (7195073) Other economics not elsewhere classified Housing booms and busts Duration analysis Weibull model Duration dependence Cubic splines Economics not elsewhere classified In this paper, we assess the characteristics of the housing market and its main determinants. Using data for 20 industrial countries over the period 1970Q1-2012Q2 and a discrete-time Weibull duration model, we find that the likelihood of the end of a housing boom or a housing bust increases over time. Additionally, we show that the different phases of the housing market cycle are strongly dependent on the economic activity, but credit market conditions are particularly important in the case of housing booms. The empirical findings also indicate that while housing booms have similar length in European and non-European countries, housing busts are typically shorter in European countries. The use of a more flexible specification for the hazard function that is based on cubic splines suggests that it evolves in a nonlinear way. From a policy perspective, our study can be useful for predicting the timing and the length of housing boom-bust cycles. Moreover, it highlights the importance of monetary policy by influencing lending rates and affecting the likelihood of occurrence of housing booms. 2017-07-03T00:00:00Z Text Journal contribution 2134/24140 https://figshare.com/articles/journal_contribution/Economic_activity_credit_market_conditions_and_the_housing_market/9493982 CC BY-NC-ND 4.0
institution	Loughborough University
collection	Figshare
topic	Other economics not elsewhere classified Housing booms and busts Duration analysis Weibull model Duration dependence Cubic splines Economics not elsewhere classified
spellingShingle	Other economics not elsewhere classified Housing booms and busts Duration analysis Weibull model Duration dependence Cubic splines Economics not elsewhere classified Luca Agnello Vitor Castro Ricardo M. Sousa Economic activity, credit market conditions and the housing market
description	In this paper, we assess the characteristics of the housing market and its main determinants. Using data for 20 industrial countries over the period 1970Q1-2012Q2 and a discrete-time Weibull duration model, we find that the likelihood of the end of a housing boom or a housing bust increases over time. Additionally, we show that the different phases of the housing market cycle are strongly dependent on the economic activity, but credit market conditions are particularly important in the case of housing booms. The empirical findings also indicate that while housing booms have similar length in European and non-European countries, housing busts are typically shorter in European countries. The use of a more flexible specification for the hazard function that is based on cubic splines suggests that it evolves in a nonlinear way. From a policy perspective, our study can be useful for predicting the timing and the length of housing boom-bust cycles. Moreover, it highlights the importance of monetary policy by influencing lending rates and affecting the likelihood of occurrence of housing booms.
format	Default Article
author	Luca Agnello Vitor Castro Ricardo M. Sousa
author_facet	Luca Agnello Vitor Castro Ricardo M. Sousa
author_sort	Luca Agnello (4825281)
title	Economic activity, credit market conditions and the housing market
title_short	Economic activity, credit market conditions and the housing market
title_full	Economic activity, credit market conditions and the housing market
title_fullStr	Economic activity, credit market conditions and the housing market
title_full_unstemmed	Economic activity, credit market conditions and the housing market
title_sort	economic activity, credit market conditions and the housing market
publishDate	2017
url	https://hdl.handle.net/2134/24140
_version_	1797735750724222976

Economic activity, credit market conditions and the housing market

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