Corpus ID: 10949976

Hot and Cold Housing Markets: International Evidence

@article{Surez2006HotAC,
  title={Hot and Cold Housing Markets: International Evidence},
  author={J. Su{\'a}rez and Jose A. Ceron},
  journal={CEPR Discussion Paper Series},
  year={2006}
}
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… Expand
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