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.
Nasiri, Maryam Akbari
"HOW LONG DO HOUSING CYCLES LAST? A DURATION ANALYSIS FOR EMERGING ECONOMIES,"
Bulletin of Monetary Economics and Banking: Vol. 23:
2, Article 6.
Available at: https://bulletin.bmeb-bi.org/bmeb/vol23/iss2/6