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dc.contributor.authorCunningham, Roseen_US
dc.contributor.authorKolet, Ilanen_US
dc.date.accessioned2011-12-15T12:56:00Z-
dc.date.available2011-12-15T12:56:00Z-
dc.date.issued2007en_US
dc.identifier.urihttp://hdl.handle.net/10419/53797-
dc.description.abstractHousing 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.en_US
dc.language.isoengen_US
dc.publisherBank of Canada Ottawaen_US
dc.relation.ispartofseriesBank of Canada Working Paper 2007,2en_US
dc.subject.jelE32en_US
dc.subject.jelR21en_US
dc.subject.jelC41en_US
dc.subject.ddc330en_US
dc.subject.keywordBusiness fluctuations and cyclesen_US
dc.subject.keywordEconometric and statistical methodsen_US
dc.subject.stwStädtischer Immobilienmarkten_US
dc.subject.stwImmobilienpreisen_US
dc.subject.stwKonjunkturen_US
dc.subject.stwDaueren_US
dc.subject.stwÖkonometrisches Modellen_US
dc.subject.stwUSAen_US
dc.subject.stwKanadaen_US
dc.titleHousing market cycles and duration dependence in the United States and Canadaen_US
dc.typeWorking Paperen_US
dc.identifier.ppn529597314en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
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