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dc.contributor.authorCunningham, Roseen
dc.contributor.authorKolet, Ilanen
dc.date.accessioned2011-12-15T12:56:00Z-
dc.date.available2011-12-15T12:56:00Z-
dc.date.issued2007-
dc.identifier.pidoi:10.34989/swp-2007-2en
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
dc.language.isoengen
dc.publisher|aBank of Canada |cOttawaen
dc.relation.ispartofseries|aBank of Canada Working Paper |x2007-2en
dc.subject.jelE32en
dc.subject.jelR21en
dc.subject.jelC41en
dc.subject.ddc330en
dc.subject.keywordBusiness fluctuations and cyclesen
dc.subject.keywordEconometric and statistical methodsen
dc.subject.stwStädtischer Immobilienmarkten
dc.subject.stwImmobilienpreisen
dc.subject.stwKonjunkturen
dc.subject.stwDaueren
dc.subject.stwÖkonometrisches Modellen
dc.subject.stwUSAen
dc.subject.stwKanadaen
dc.titleHousing market cycles and duration dependence in the United States and Canada-
dc.typeWorking Paperen
dc.identifier.ppn529597314en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:bca:bocawp:07-2en

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