Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/314701 
Year of Publication: 
2025
Series/Report no.: 
CESifo Working Paper No. 11662
Publisher: 
CESifo GmbH, Munich
Abstract: 
This paper provides a comprehensive analysis of persistence in real house prices at the quarterly frequency in 47 countries from the OECD Database using fractional integration methods. The sample period varies depending on data availability, the longest series being the Japanese one (from 1960Q1), with the last observation at the end of 2023 or in early 2024 in all cases. Both linear and non-linear models are considered. In the latter case structural break tests are carried out first to capture sudden parameter shifts, and then a specification based on Chebyshev polynomials in time is also estimated in order to allow for smoother changes. The results generally indicate a high degree of persistence, some slight evidence of mean reversion being found only when allowing for non-linearities.
Subjects: 
real house prices
fractional integration
persistence
trends
non-linearities
structural breaks
JEL: 
C22
E21
Document Type: 
Working Paper
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