University of St.Gallen
research platform alexandria
search publications
browse publications
by person
A B C D E F G H I J K L M N O P Q R S T U V W X Y Z
 
by year

Macroeconomic Determinants of International Housing Markets

fulltext etc. no fulltext attached
abstract This paper examines the long-term impact and short-term dynamics of macroeconomic variables on international housing prices. Since adequate housing market data are generally not available and usually of low frequency we apply a panel cointegration analysis consisting of 15 countries over a period of 30 years. Pooling the observations allows us to overcome the data restrictions which researchers face when testing long-term relationships among single real estate time series. This study does not only confirm results from previous studies, but also allows for a comparison of single country estimations in an integrated equilibrium framework. The empirical results indicate house prices to increase in the long-run by 0.6% in response to a 1% increase in economic activity while construction costs and the long-term interest rate show average long-term effects of approximately 0.6% and ?0.3%, respectively. Contrary to current literature our estimates suggest only about 16% adjustment per year. Thus the time to full recovery may be much slower than previously stated, so that deviations from the long-term equilibrium result in a dynamic adjustment process that may take up to 14 years.
   
type journal paper
   
keywords
   
language English
kind of paper journal article
date of appearance 1-3-2010
journal Journal of Housing Economics
publisher Elsevier (Amsterdam)
ISSN 1051-1377
ISSN (online) 1096-0791
DOI 10.1016/j.jhe.2009.10.005
volume of journal 19
number of issue 1
page(s) 38-50
review not reviewed
   
citation Adams, Z., & Füss, R. (2010). Macroeconomic Determinants of International Housing Markets. Journal of Housing Economics, 19(1), 38-50, DOI:10.1016/j.jhe.2009.10.005.