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Title: Booms, busts, and normal times in the housing market
Authors: Agnello, Luca
Castro, Vitor
Sousa, Ricardo M.
Keywords: Change-points
Duration analysis
Duration dependence
Housing booms and busts
Weibull model
Issue Date: 2014
Publisher: Taylor & Francis © American Statistical Association
Citation: AGNELLO, L., CASTRO, V. and SOUSA, R.M., 2014. Booms, busts, and normal times in the housing market. Journal of Business and Economic Statistics, 33 (1), pp. 25-45.
Abstract: 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 find evidence of positive duration dependence 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 findings 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.
Description: This is an Accepted Manuscript of an article published by Taylor & Francis in Journal of Business and Economic Statistics on 7th May 2014, available online: http://www.tandfonline.com/10.1080/07350015.2014.918545.
Sponsor: Castro and Sousa acknowledge that this work has been financed by Operational Programme for Competitiveness Factors - COMPETE and by National Funds through the FCT - Portuguese Foundation for Science and Technology within the remit of the project “FCOMP-01-0124-FEDER-037268 (PEst-C/EGE/UI3182/2013)”.
Version: Accepted for publication
DOI: 10.1080/07350015.2014.918545
URI: https://dspace.lboro.ac.uk/2134/25013
Publisher Link: http://dx.doi.org/10.1080/07350015.2014.918545
ISSN: 0735-0015
Appears in Collections:Published Articles (Economics)

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