Booms and busts in housing markets: Determinants and implications

Agnello, Luca; Schuknecht, Ludger

doi:10.1016/j.jhe.2011.04.001

Cited by 294 publications

(219 citation statements)

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“…If we plug the Weibull speci…cation for the baseline hazard function as expressed by equation (6) in the proportional hazard function denoted by (5), we get:…”

Section: The Basic Weibull Modelmentioning

confidence: 99%

“…Against this background, investigating the behaviour of the housing sector and, especially, on the determinants of the boom-bust phases was brought into the …rst front of the policymaking agenda (Agnello and Schuknecht, 2011). Similarly, understanding the characteristics of the housing cycles and their likely impact on the macroeconomy and the …nancial system has gained a renewed interest from academics and researchers Sousa, 2011, 2012).…”

Section: Introductionmentioning

confidence: 99%

“…Second, we rely on a continuous-time Weibull model to assess the presence of duration dependence in housing market cycles. This allows us to analyse not only the characteristics of the booms and busts in housing prices -as Agnello and Schuknecht (2011) do -, but also: (i) the determinants of the duration of the various phases of the housing market cycle; and (ii) whether the likelihood of an ending in a given housing market cycle depends on its age, that is, whether, as time goes by, the probability that a housing boom (upturn) comes to an end increases or not. Third, we uncover a new dimension of the phases of the housing price cycle: the existence of breaks or change-points in their duration dependence.…”

Section: Introductionmentioning

confidence: 99%

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Booms, Busts, and Normal Times in the Housing Market

Agnello¹,

Castro

Sousa

2015

Journal of Business & Economic Statistics

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We assess the existence of duration dependence in the likelihood of an end in housing booms, busts and normal times. Using data for 20 industrial countries and a continuous-time Weibull duration model, we …nd evidence of positive duration dependence and suggesting that housing market cycles have become longer over the last decades. Then, we extend the baseline Weibull model and allow for the presence of a change-point in the duration dependence parameter. We show that positive duration dependence is present in booms and busts that last less than 26 quarters, but that does not seem to be the case for longer phases of the housing market cycle. For normal times, no evidence of change-points is found. Finally, the empirical …ndings uncover positive duration dependence in housing market booms of European and non-European countries and housing busts of European countries. In addition, they reveal that while housing booms have similar length in European and non-European countries, housing busts are typically shorter in European countries.

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“…If we plug the Weibull speci…cation for the baseline hazard function as expressed by equation (6) in the proportional hazard function denoted by (5), we get:…”

Section: The Basic Weibull Modelmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

See 1 more Smart Citation

Booms, Busts, and Normal Times in the Housing Market

Agnello¹,

Castro

Sousa

2015

Journal of Business & Economic Statistics

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“…Furthermore, 3 On duration analysis using duration models see, among others, Sichel (1991), Diebold et al (1990Diebold et al ( , 1993, Zuehlke (2003), Davig (2007) and Castro (2010). 4 Another basic procedure to date the business cycle is the algorithm proposed by Bry and Boschan (1971) to pin-point the relevant turning points in a dataseries. However, it presents an important drawback: it is only applicable to a single monthly series.…”

Section: Review Of the Literaturementioning

confidence: 99%

“…The occurrence of the recent global crisis has become key for assessing the timing and duration of business cycle phases and how …scal and monetary authorities can inzuence economic activity (Agnello and Schuknecht, 2011;Sousa, 2011, 2013;Mallick and Sousa, 2013;Sousa, 2010). Indeed, many countries have actively adopted measures to avoid a deep economic contraction in reaction to the crisis that arouse in 2007 in the …nancial markets.…”

Section: Introductionmentioning

confidence: 99%

The Portuguese business cycle: chronology and duration dependence

Castro

2014

Empir Econ

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This paper tries to identify a chronology for the Portuguese business cycle and test for the presence of duration dependence in the respective phases of expansion and contraction. A duration dependent Markov-switching vector autoregressive model is employed in that task. This model is estimated over year-on-year growth rates of a set of relevant economic indicators, namely, industrial production, a composite leading indicator and, additionally, civilian employment. The estimated speci…cations allow us to identify four main periods of contraction during the last three decades and some evidence of positive duration dependence in contractions, but not in expansions, especially when employment is added to the model.

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Gentrification and the Real Estate Market: What Can We Learn from the Rent Gap Theory?

Boulay

2022

Cities at the Heart of Inequalities

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Booms and busts in housing markets: Determinants and implications

Cited by 294 publications

References 50 publications

Booms, Busts, and Normal Times in the Housing Market

Booms, Busts, and Normal Times in the Housing Market

The Portuguese business cycle: chronology and duration dependence

Gentrification and the Real Estate Market: What Can We Learn from the Rent Gap Theory?

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