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

Authors

Maryam Akbari Nasiri, Victoria Department of Treasury and Finance, AustraliaFollow

Document Type

Article

Abstract

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.

Recommended Citation

Nasiri, Maryam Akbari (2020) "HOW LONG DO HOUSING CYCLES LAST? A DURATION ANALYSIS FOR EMERGING ECONOMIES," Bulletin of Monetary Economics and Banking: Vol. 23: No. 2, Article 6.
DOI: https://doi.org/10.21098/bemp.v23i2.1295
Available at: https://bulletin.bmeb-bi.org/bmeb/vol23/iss2/6

First Page

179

Last Page

200

Creative Commons License

This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License

Country

Australia

Affiliation

Victoria Department of Treasury and Finance