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How Long Do Housing Cycles Last? A Duration Analysis For Emerging Economies

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  • Maryam Akbari Nasiri

    (Victorian Department of Treasury and Finance)

Abstract

In this paper, I empirically study the amplitudes and durations of housing cycles in selected emerging countries. Using the Harding and Pagan (2002) approach, I identify peaks and troughs of house prices for 10 countries. I find that, on average, housing expansions last longer and have greater amplitudes than housing contractions. I, then, estimate a discrete time survival model of housing expansions and contractions. I show that both contractions and expansions have positive duration dependence. I find that inflation and economic growth are useful predictors for the end of periods of expansions and contractions.

Suggested Citation

  • Maryam Akbari Nasiri, 2020. "How Long Do Housing Cycles Last? A Duration Analysis For Emerging Economies," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 23(2), pages 179-200, July.
    • Handle: RePEc:idn:journl:v:23:y:2020:i:2b:p:179-200
    DOI: https://doi.org/10.21098/bemp.v23i2.1295
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    More about this item

    Keywords

    Housing cycles; Duration; Amplitude; Economic growth;
    All these keywords.

    JEL classification:

    • R30 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location - - - General
    • F44 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Business Cycles

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