Naslov
Are house prices characterised by threshold effects? Evidence from developed and post-transition countries

Autori
Posedel, Petra ; Vizek, Maruška

Izvornik
Czech journal of economics and finance (0015-1920) 61 (2011), 6; 584-600

Vrsta, podvrsta i kategorija rada
Radovi u časopisima, članak, znanstveni

Ključne riječi
house prices; threshold cointegration; transition

Sažetak
We use a nonlinear framework in order to explore house price determinants and adjust-ment properties. We test for threshold cointegration using a sample of four developed countries (the United States, the United Kingdom, Spain, and Ireland) and four transition countries (Bulgaria, Croatia, the Czech Republic, and Estonia). In addition to testing for nonlinearities, we explore house price determinants in these four transition countries of Central and Eastern Europe. Asymmetric house price adjustment is present in all transi-tion countries and the USA, while no threshold effects are detected in developed Euro-pean countries. In a threshold error correction framework, house prices are aligned with fundamentals, but house price persistence coupled with a slow and asymmetric house price adjustment process might have facilitated the house price boom in transition coun-tries and the USA.

Izvorni jezik
Engleski

Znanstvena područja
Ekonomija

POVEZANOST RADA