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Paper eres2011_51:
Co-movement of house price cycles – a factor analysis

id eres2011_51
authors Voigtländer, Michael; Pomogajko, Kirill
year 2011
title Co-movement of house price cycles – a factor analysis
source 18th Annual European Real Estate Society Conference in Eindhoven, the Netherlands
summary Due to globalisation and monetary integration the macroeconomic conditions for industrial countries have become more and more equally. Based on a factor analysis we examine if the synchronisation of business cycles also affected the co-movement of house prices in OECD-countries for the period of 1990 to 2010. As it turns out, the integration of housing markets has accelerated in the last decade. We can identify a strong global factor as well as a regional factor. However, some countries like Germany, the Netherlands and Japan seem to be uncoupled from the global trend. Furthermore, the co-movement of markets with greater proximity is generally stronger. Although globalisation seems to foster the integration of housing markets, monetary integration has only a minor effect. We illustrate our results by referring to methods well-known from cluster-analysis.
keywords House prices, co-movement, factor analysis
series ERES:conference
content file.pdf (213,520 bytes)
discussion No discussions. Post discussion ...
ratings Ratings: 5
session G1: Price Determinants on the Housing Market
last changed 2014/10/21 21:51
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