| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP5471
|
| DP5471 Market and Public Provision in the Presence of Human Capital Externalities |
| Gianni De Fraja
|
| 发表日期 | 2006-01-23
|
| 出版年 | 2006
|
| 语种 | 英语
|
| 摘要 | This paper examines the experience of 14 developed countries for which there are about 30 years of quarterly inflation-adjusted housing price data. Price dynamics is modelled as a combination of a country-specific component and a cyclical component. The cyclical component is a two-state Markov switching process with parameters common to all countries. We find that the latent cyclical variable captures previously undocumented changes in the volatility of real housing price increases. These volatility phases are quite persistent (about six years, on average) and occur with about the same unconditional frequency over time. In line with previous studies, the mean of real housing price increases can be predicted to be larger when lagged values of those increases are large, real GDP growth is high, unemployment falls, and interest rates are low or have declined. Our findings have important implications for risk management in regard to residential property markets. |
| 主题 | Financial Economics
|
| 关键词 | Housing prices
Cycles
Volatility
Markov switching
|
| URL | https://cepr.org/publications/dp5471
|
| 来源智库 | Centre for Economic Policy Research (United Kingdom)
|
| 资源类型 | 智库出版物
|
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/534329
|
推荐引用方式
GB/T 7714 |
Gianni De Fraja. DP5471 Market and Public Provision in the Presence of Human Capital Externalities. 2006.
|
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