Macroeconomic determinants of international housing markets |
| |
Authors: | Zeno Adams Roland Füss |
| |
Institution: | 1. Department of Business & Management, Webster Vienna University, Praterstrasse 23, 1020 Vienna, Austria;2. Department of Economics and Finance, Portsmouth Business School, University of Portsmouth, Portland Street, Portsmouth PO1 3DE, United Kingdom;3. Department of Accounting and Finance, Technological Educational Institute of Crete, 71004 Crete, Greece;4. School of Social Sciences, Hellenic Open University, Greece;2. NBER, Cambridge, MA, United States |
| |
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. |
| |
Keywords: | |
本文献已被 ScienceDirect 等数据库收录! |
|