Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/79485
Authors: 
Arestis, Philip
González, Ana Rosa
Year of Publication: 
2013
Series/Report no.: 
Working Paper, Levy Economics Institute 764
Abstract: 
Recent episodes of housing bubbles, which occurred in several economies after the burst of the United States housing market, suggest studying the evolution of housing prices from a global perspective. We utilize a theoretical model for the purposes of this contribution, which identifies the main drivers of housing price appreciation - for example, income, residential investment, financial elements, fiscal policy, and demographics. In the second stage of our analysis, we test our theoretical hypothesis by means of a sample of 18 Organisation for Economic Co-operation and Development (OECD) countries from 1970 to 2011. We employ the vector error correction econometric technique in terms of our empirical analysis. This allows us to model the long-run equilibrium relationship and the short-run dynamics, which also helps to account for endogeneity and reverse-causality problems.
Subjects: 
empirical modeling
housing market
vector error correction modeling
OECD countries
JEL: 
C22
R31
Document Type: 
Working Paper

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