Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/153926
Authors: 
Gerdesmeier, Dieter
Lenarčič, Andreja
Roffia, Barbara
Year of Publication: 
2012
Series/Report no.: 
ECB Working Paper 1493
Abstract: 
The main aim of this paper is to apply a method based on fundamentals ─ which has already been applied in the stock market analysis ─ to detect boom/bust in the housing market, with a focus on the euro area. In this context, an underlying model is developed and tested. It turns out that the user cost rate, a demographic variable, the unemployment rate, disposable income (or disposable income per capita), the debt-to-income ratio and, finally, the housing stock are fundamental variables which significantly explain house price developments. Booms and busts are then selected as episodes when the house price index deviates excessively from the levels which would be implied by these economic fundamentals. In addition, a cross-check of the boom/bust episodes based on this method and other statistical and fundamental ones is carried out in order to substantiate the results obtained. Finally, money and credit aggregates are included in the specifications and are found to be useful in explaining boom/busts cycles in house prices.
Subjects: 
booms
busts
House prices
monetary and credit aggregates
Quantile Regressions
JEL: 
E37
E44
E51
Document Type: 
Working Paper

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