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
Englisch

Bibliographic citation
Series: Bank of Canada Working Paper ; No. 2014-54

Classification
Wirtschaft
Interest Rates: Determination, Term Structure, and Effects
Urban, Rural, Regional, Real Estate, and Transportation Economics: Housing Demand
Subject
Housing
Econometric and statistical methods

Event
Geistige Schöpfung
(who)
Bauer, Gregory H.
Event
Veröffentlichung
(who)
Bank of Canada
(where)
Ottawa
(when)
2014

DOI
doi:10.34989/swp-2014-54
Handle
Last update
20.09.2024, 8:21 AM CEST

Data provider

This object is provided by:
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

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