Discussion Papers no. 458
Endogenous housing market cycles
Housing markets tend to display both positive serial correlation as well as a considerable volatility over time. We present a stochastic model illustrating the connection between adaptive expectations and market fluctuations. All macro economic and demographic variables stay fixed over time and price movements are driven by expectations only. In the case where agents face unconstrained mortgage financing, the housing market oscillations are regular and depend on mortgage to income ratios. When credit institutions are introduced, which view houses as mortgage collaterals, the dynamics get complex. Periods of mild oscillations are mixed with violent collapses in an unpredictable manner.
Om publikasjonen
- Tittel
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Endogenous housing market cycles
- Ansvarlige
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Trond Borgersen, Tom Wennemo, Dag Einar Sommervoll
- Serie og -nummer
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Discussion Papers no. 458
- Utgiver
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Statistics Norway, Research Department
- Emne
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Discussion Papers
- Antall sider
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26
- Målform
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Engelsk
- Om Discussion Papers
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Discussion papers comprise research papers intended for international journals and books. A preprint of a Discussion Paper may be longer and more elaborate than a standard journal article as it may include intermediate calculations, background material etc.
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