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Please use this identifier to cite or link to this item: https://dspace.lboro.ac.uk/2134/24140

Title: Economic activity, credit market conditions and the housing market
Authors: Agnello, Luca
Castro, Vitor
Sousa, Ricardo M.
Keywords: Housing booms and busts
Duration analysis
Weibull model
Duration dependence
Cubic splines
Issue Date: 2017
Publisher: © Cambridge University Press (CUP)
Citation: AGNELLO, L., CASTRO, V. and SOUSA, R.M., 2017. Economic activity, credit market conditions and the housing market. Macroeconomic Dynamics, In Press.
Abstract: In this paper, we assess the characteristics of the housing market and its main determinants. Using data for 20 industrial countries over the period 1970Q1-2012Q2 and a discrete-time Weibull duration model, we find that the likelihood of the end of a housing boom or a housing bust increases over time. Additionally, we show that the different phases of the housing market cycle are strongly dependent on the economic activity, but credit market conditions are particularly important in the case of housing booms. The empirical findings also indicate that while housing booms have similar length in European and non-European countries, housing busts are typically shorter in European countries. The use of a more flexible specification for the hazard function that is based on cubic splines suggests that it evolves in a nonlinear way. From a policy perspective, our study can be useful for predicting the timing and the length of housing boom-bust cycles. Moreover, it highlights the importance of monetary policy by influencing lending rates and affecting the likelihood of occurrence of housing booms.
Description: This paper was accepted for publication in the journal Macroeconomic Dynamics and the definitive published version is available at https://doi.org/10.1017/S1365100516000869
Version: Accepted for publication
DOI: 10.1017/S1365100516000869
URI: https://dspace.lboro.ac.uk/2134/24140
Publisher Link: https://doi.org/10.1017/S1365100516000869
ISSN: 1469-8056
Appears in Collections:Published Articles (Economics)

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