Global house prices since 1950

Haroon Mumtaz and Roman Sustek

No 2307, Discussion Papers from Centre for Macroeconomics (CFM)

Abstract: An asset valuation approach is applied to house prices in a sample of advanced economies. The price of housing services is determined by the housing stock, population and income per capita, while allowing for housing consumption heterogeneity across age groups. These fundamentals contain persistent predictable components inferred from data. Resulting shifts in expectations about the future values of these fundamentals generate sizable and persistent house price swings. The estimated model accounts well for house prices since 1950. It accounts for the boom starting in many countries in the early 1990s as well as for the spectacular boom and bust in Japan. A decomposition into the contributing factors is carried out.

Keywords: House prices; asset pricing; expectations; fundamentals; demographics (search for similar items in EconPapers)
JEL-codes: E20 G12 G50 J11 R21 (search for similar items in EconPapers)
Pages: 49 pages
Date: 2023-02
New Economics Papers: this item is included in nep-ure
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Persistent link: https://EconPapers.repec.org/RePEc:cfm:wpaper:2307

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