Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/123735
Authors: 
Bauer, Gregory H.
Year of Publication: 
2014
Series/Report no.: 
Bank of Canada Working Paper 2014-54
Abstract: 
Using a panel logit framework, the paper provides an estimate of the likelihood of a house price correction in 18 OECD countries. The analysis shows that a simple measure of the degree of house price overvaluation contains a lot of information about subsequent price reversals. Corrections are typically triggered by a sharp tightening in the monetary policy interest rate relative to a baseline level in each country. Two different assessments of the current and future baseline estimates of monetary policy interest rates are provided: a simple Taylor rule and one extracted from a term structure model. A case study based on the Canadian housing market is presented.
Subjects: 
Housing
Econometric and statistical methods
JEL: 
C2
E43
R21
Document Type: 
Working Paper

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