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作者

来源

JOURNAL OF REAL ESTATE FINANCE AND ECONOMICS,Vol.54,Issue2,P.237-268

语言

英文

关键字

Global housing market; Trend-cycle decomposition; Cointegration; BEVERIDGE-NELSON; TIME-SERIES; CONSUMPTION; COMPONENTS; WEALTH; COINTEGRATION; DECOMPOSITION; PERMANENT; POLICY; CYCLE

作者单位

[Kishor, N. Kundan] Univ Wisconsin, Dept Econ, POB 413,Bolton 822, Milwaukee, WI 53201 USA. [Marfatia, Hardik A.] NE Illinois Univ, Dept Econ, 5500 N St Louis Ave,BBH 344G, Chicago, IL 60625 USA. Kishor, NK (reprint author), Univ Wisconsin, Dept Econ, POB 413,Bolton 822, Milwaukee, WI 53201 USA. E-Mail: kishor@uwm.edu; h-marfatia@neiu.edu

摘要

This paper studies the dynamic relationship among house prices, income and interest rates in 15 OECD countries. We find that any disequilibrium in the long-run cointegrating relationship among these variables is corrected by the subsequent movement in house prices in most of these countries. This error-correction property of house prices implies that most of the variations in house prices are transitory, as compared to the movements in income and interest rates that are permanent, suggesting that the short-run movements in house prices are independent of the movements in income and interest rates. The results suggest that only the permanent movement in house prices, income and interest rates are associated with each other. We also find that the correlation in house price cycles across different OECD countries has changed over time with the highest correlation during the boom period of 1998-2005.