Housing market volatility in the OECD area: Evidence from VAR based return decompositions

Publikation: Bidrag til tidsskrift/Konferencebidrag i tidsskrift /Bidrag til avisTidsskriftartikelForskningpeer review

Vector-autoregressive models are used to decompose housing returns in 18 OECD countries into cash flow (rent) news and discount rate (return) news over the period 1970-2011. For the jajority of countries news about future returns is the main driver, and both real interest rates and risk-premia play an important role in accounting for housing market volatility. Bivariate cross-country correlations and principal components analyses indicate that part of the return movements have a common factor among the majority of countries. We explain the results in terms of global changes in credit constraints and transations costs as well as changes in monetary policy over this period. Among other things, our results shed new light on wheather excessively low interest rates by the monetary authorities was a major cause for the housing boom up to 2006.
OriginalsprogEngelsk
TidsskriftJournal of Macroeconomics
Vol/bind42
Sider (fra-til)91-103
Antal sider13
ISSN0164-0704
DOI
StatusUdgivet - 2014

Se relationer på Aarhus Universitet Citationsformater

ID: 81302461