The interaction of actual and fundamental house prices: A general model with an application to Sweden
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The interaction of actual and fundamental house prices : A general model with an application to Sweden. / Sorensen, Peter Birch; Bergman, Michael.
I: Journal of Housing Economics, Bind 54, 101792, 12.2021.Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt
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TY - JOUR
T1 - The interaction of actual and fundamental house prices
T2 - A general model with an application to Sweden
AU - Sorensen, Peter Birch
AU - Bergman, Michael
PY - 2021/12
Y1 - 2021/12
N2 - The paper presents a general method for estimating a country’s level of fundamental house prices and its interaction with actual house prices. We set up a unified empirical model which can be used to analyze the time-series behavior of the fundamental house price and to test various hypotheses regarding its relation to the actual house price. Conditional forecasts from the model allow us to simulate policy experiments. To illustrate how the methods work, we apply it to data for Sweden. We find a tendency for actual house prices to converge on fundamental prices, albeit rather slowly. To achieve a significant fall in actual house prices it is necessary to increase the user cost substantially.
AB - The paper presents a general method for estimating a country’s level of fundamental house prices and its interaction with actual house prices. We set up a unified empirical model which can be used to analyze the time-series behavior of the fundamental house price and to test various hypotheses regarding its relation to the actual house price. Conditional forecasts from the model allow us to simulate policy experiments. To illustrate how the methods work, we apply it to data for Sweden. We find a tendency for actual house prices to converge on fundamental prices, albeit rather slowly. To achieve a significant fall in actual house prices it is necessary to increase the user cost substantially.
KW - Fundamental house prices
KW - house price dynamics
KW - Housing bubbles
U2 - 10.1016/j.jhe.2021.101792
DO - 10.1016/j.jhe.2021.101792
M3 - Journal article
VL - 54
JO - Journal of Housing Economics
JF - Journal of Housing Economics
SN - 1051-1377
M1 - 101792
ER -
ID: 302915116