Arbeitspapier
International House Price Cycles, Monetary Policy and Risk Premiums
Using a panel logit framework, the paper provides an estimate of the likelihood of a house price correction in 18 OECD countries. The analysis shows that a simple measure of the degree of house price overvaluation contains a lot of information about subsequent price reversals. Corrections are typically triggered by a sharp tightening in the monetary policy interest rate relative to a baseline level in each country. Two different assessments of the current and future baseline estimates of monetary policy interest rates are provided: a simple Taylor rule and one extracted from a term structure model. A case study based on the Canadian housing market is presented.
- Language
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Englisch
- Bibliographic citation
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Series: Bank of Canada Working Paper ; No. 2014-54
- Classification
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Wirtschaft
Interest Rates: Determination, Term Structure, and Effects
Urban, Rural, Regional, Real Estate, and Transportation Economics: Housing Demand
- Subject
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Housing
Econometric and statistical methods
- Event
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Geistige Schöpfung
- (who)
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Bauer, Gregory H.
- Event
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Veröffentlichung
- (who)
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Bank of Canada
- (where)
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Ottawa
- (when)
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2014
- DOI
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doi:10.34989/swp-2014-54
- Handle
- Last update
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20.09.2024, 8:21 AM CEST
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Bauer, Gregory H.
- Bank of Canada
Time of origin
- 2014