HOW LONG DO HOUSING CYCLES LAST? A DURATION ANALYSIS FOR EMERGING ECONOMIES

HOW LONG DO HOUSING CYCLES LAST? A DURATION ANALYSIS FOR EMERGING ECONOMIES

In this paper, I empirically study the amplitudes and durations of housing cycles in selected emerging countries. Using the Harding and Pagan (2002) approach, I identify peaks and troughs of house prices for 10 countries. I find that, on average, housing expansions last longer and have greater ampli...

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Main Author: Maryam Akbari Nasiri
Format: Article
Language:Indonesian
Published: Bank Indonesia 2020-06-01
Series:Bulletin Ekonomi Moneter dan Perbankan
Subjects:
housing cycles
duration
amplitude
economic growth
Online Access:https://www.bmeb-bi.org/index.php/BEMP/article/view/1295
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spelling doaj-44168cad30534622baabcc29883f55892020-11-25T03:19:39ZindBank IndonesiaBulletin Ekonomi Moneter dan Perbankan1410-80462460-91962020-06-0123217920010.21098/bemp.v23i2.12951295HOW LONG DO HOUSING CYCLES LAST? A DURATION ANALYSIS FOR EMERGING ECONOMIESMaryam Akbari Nasiri0Victoria Department of Treasury and FinanceIn this paper, I empirically study the amplitudes and durations of housing cycles in selected emerging countries. Using the Harding and Pagan (2002) approach, I identify peaks and troughs of house prices for 10 countries. I find that, on average, housing expansions last longer and have greater amplitudes than housing contractions. I, then, estimate a discrete time survival model of housing expansions and contractions. I show that both contractions and expansions have positive duration dependence. I find that inflation and economic growth are useful predictors for the end of periods of expansions and contractions.https://www.bmeb-bi.org/index.php/BEMP/article/view/1295housing cyclesdurationamplitudeeconomic growth
collection DOAJ
language Indonesian
format Article
sources DOAJ
author Maryam Akbari Nasiri
spellingShingle Maryam Akbari Nasiri
HOW LONG DO HOUSING CYCLES LAST? A DURATION ANALYSIS FOR EMERGING ECONOMIES
Bulletin Ekonomi Moneter dan Perbankan
housing cycles
duration
amplitude
economic growth
author_facet Maryam Akbari Nasiri
author_sort Maryam Akbari Nasiri
title HOW LONG DO HOUSING CYCLES LAST? A DURATION ANALYSIS FOR EMERGING ECONOMIES
title_short HOW LONG DO HOUSING CYCLES LAST? A DURATION ANALYSIS FOR EMERGING ECONOMIES
title_full HOW LONG DO HOUSING CYCLES LAST? A DURATION ANALYSIS FOR EMERGING ECONOMIES
title_fullStr HOW LONG DO HOUSING CYCLES LAST? A DURATION ANALYSIS FOR EMERGING ECONOMIES
title_full_unstemmed HOW LONG DO HOUSING CYCLES LAST? A DURATION ANALYSIS FOR EMERGING ECONOMIES
title_sort how long do housing cycles last? a duration analysis for emerging economies
publisher Bank Indonesia
series Bulletin Ekonomi Moneter dan Perbankan
issn 1410-8046
2460-9196
publishDate 2020-06-01
description In this paper, I empirically study the amplitudes and durations of housing cycles in selected emerging countries. Using the Harding and Pagan (2002) approach, I identify peaks and troughs of house prices for 10 countries. I find that, on average, housing expansions last longer and have greater amplitudes than housing contractions. I, then, estimate a discrete time survival model of housing expansions and contractions. I show that both contractions and expansions have positive duration dependence. I find that inflation and economic growth are useful predictors for the end of periods of expansions and contractions.
topic housing cycles
duration
amplitude
economic growth
url https://www.bmeb-bi.org/index.php/BEMP/article/view/1295
work_keys_str_mv AT maryamakbarinasiri howlongdohousingcycleslastadurationanalysisforemergingeconomies
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