IMF Working Papers

How Long Do Housing Cycles Last? a Duration Analysis for 19 OECD Countries

By Philippe Bracke

October 1, 2011

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Philippe Bracke. How Long Do Housing Cycles Last? a Duration Analysis for 19 OECD Countries, (USA: International Monetary Fund, 2011) accessed September 18, 2024
Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary

This paper analyzes the duration of house price upturns and downturns in the last 40 years for 19 OECD countries. I provide two sets of results, one pertaining to the average length and the other to the length distribution. On average, upturns are longer than downturns, but the difference disappears once the last house price boom is excluded. In terms of length distribution, upturns (but not downturns) are more likely to end as their duration increases. This duration dependence is consistent with a boom-bust view of house price dynamics, where booms represent departures from fundamentals that are increasingly difficult to sustain.

Subject: Business cycles, Economic growth, Housing, Housing prices, Inflation, National accounts, Prices

Keywords: Business cycles, Downturn duration, Downturn equation, Duration Dependence, Duration term, House price downturn, House price upturn, House Prices, Housing, Housing Cycles, Housing prices, Inflation, Interest rate, Upturn equation, WP

Publication Details

  • Pages:

    29

  • Volume:

    ---

  • DOI:

    ---

  • Issue:

    ---

  • Series:

    Working Paper No. 2011/231

  • Stock No:

    WPIEA2011231

  • ISBN:

    9781463921316

  • ISSN:

    1018-5941