Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/53797
Authors: 
Cunningham, Rose
Kolet, Ilan
Year of Publication: 
2007
Series/Report no.: 
Bank of Canada Working Paper 2007,2
Abstract: 
Housing wealth is a large component of total wealth and plays an important role in aggregate business cycles. In this paper, we explore data on real house price cycles at the aggregate level and city level for the United States and Canada. Using a panel of 137 cities, we examine the duration, size, and correlations of housing market cycles in North America. We find that North American housing cycles are long, averaging five years of expansion and four years of contraction, and there is a fairly high degree of correlation in house price cycles between U.S. and Canadian cities. We estimate a discrete time survival model with a probit specification for house price expansions and contractions. This model allows us to test for duration dependence. We find that housing market expansions have positive duration dependence since their exit probabilities increase with duration, while contractions seem to have no duration dependence. Standard determinants of house prices (interest rates, income and population growth) are included as controls.
Subjects: 
Business fluctuations and cycles
Econometric and statistical methods
JEL: 
E32
R21
C41
Document Type: 
Working Paper
Appears in Collections:

Files in This Item:
File
Size
184.29 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.