6533b7dcfe1ef96bd12721ab
RESEARCH PRODUCT
Booms and busts in housing markets: determinants and implications
Ludger SchuknechtLuca AgnelloLuca Agnellosubject
Economics and EconometricsBooms and busts house prices housing marketmedia_common.quotation_subjectglobal liquidityFinancial marketSettore SECS-P/02 Politica EconomicaFinancial deregulationMonetary economicsmonetary policiecredit growthHousing priceBoombooms and bustInterest rateMarket liquidityfinancial deregulationDeregulationEconomicsMultinomial probitmedia_commonFinancial sectordescription
This study looks at real estate price booms and busts in industrialised countries. It identifies major and persistent deviations from long term trends for 18 countries and estimates the probabilities of their occurrence using a Random Effects Panel Probit model over the period 1980-2007. It finds that 1) most recent housing booms have been very persistent and of a significant magnitude; 2) there appears to be a strong correlation between the persistence and magnitude of booms and subsequent busts; 3) economic costs (in terms of GDP losses during the post-boom phase) depend significantly on the magnitude and duration of the boom and money and credit developments during that period; 4) a number of policy variables, including short term interest rates, local and global money and credit developments, and the incidence of mortgage market deregulation affect significantly the probability of experiencing booms and busts; and 5) the model is quite successful in identifying booms and busts early on. JEL Classification: E32, R21, R31
| year | journal | country | edition | language |
|---|---|---|---|---|
| 2009-07-01 |