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How Long Do Housing Cycles Last? a Duration Analysis for 19 OECD Countries
Author:
Mr. Philippe Brackenull

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Series:
IMF Working Papers
Volume/Issue:
Volume 2011: Issue 231
Language:
English
Publication Date:
01 Oct 2011
DOI:
https://doi.org/10.5089/9781463921316.001
ISBN:
9781463921316
ISSN:
1018-5941
Pages:
29
Keywords:
WP; house price upturn; upturn equation; interest rate; Housing Cycles; House Prices; Duration Dependence; house price downturn; downturn equation; duration term; downturn duration; Housing prices; Housing; Business cycles; Inflation
Legal-disclaimer:
IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.
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This paper analyzes the duration of house price upturns and downturns in the last 40 years for 19 OECD countries. I provide two sets of results, one pertaining to the average length and the other to the length distribution. On average, upturns are longer than downturns, but the difference disappears once the last house price boom is excluded. In terms of length distribution, upturns (but not downturns) are more likely to end as their duration increases. This duration dependence is consistent with a boom-bust view of house price dynamics, where booms represent departures from fundamentals that are increasingly difficult to sustain.
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Cover IMF Working Papers
IMF Working Papers
ISSN:
1018-5941
Publisher:
International Monetary Fund
Volume 2011: Issue 231