Interest rate elasticity of residential housing prices / / Plamen Iossifov, Martin Čihák, and Amar Shanghavi ; authorized for distribution by Cyrille Briançon

• Record Nr.: UNINA9910463613403321
• Autore: Iossifov Plamen
• Pubbl/distr/stampa: [Washington, District of Columbia] : , : International Monetary Fund, , 2008; ©2008
• ISBN: 1-4623-0735-3; 1-4527-6118-3; 9786612841989; 1-4518-7105-8; 1-282-84198-X
• Descrizione fisica: 1 online resource (34 p.)
• Collana: IMF Working Papers; IMF working paper ; ; WP/08/247
• Altri autori (Persone): ČihákMartin; ShanghaviAmar; BriançonCyrille
• Disciplina: 332.82
• Soggetti: Interest rates - Econometric models; Elasticity (Economics) - Econometric models; Housing - Prices - Econometric models; Electronic books.
• Lingua di pubblicazione: Inglese
• Formato: Materiale a stampa
• Livello bibliografico: Monografia
• Note generali: Description based upon print version of record.
• Nota di bibliografia: Includes bibliographical references.
• Nota di contenuto: Contents; I. Introduction; II. Literature Overview; III. Regression Analysis; A. Choice of Explanatory Variables; B. Panel Data Regression Analysis; Tables; 1. 3SLS Estimates of the Residential Housing Price Equation in First-Differences; C. Cross-Section Regression Analysis; 2. OLS Estimates of the Housing Price Equation Using Cross-Country Data; D. Preferred Estimate of the Interest Rate Elasticity of Housing Prices; IV. Conclusion; References; Appendices; I. Survey of Studies of Determinants of Housing Prices; II. Variables Definitions and Data Sources; Appendix Tables; 1. Variables Definitions and Data SourcesAppendix Figures; 1. Real Residential Housing Price Indices, 1980-2007; 2. Scatter Plots of Residential Housing Prices on Fundamental Determinants; III. Additional Regression Output; 2. Within (Fixed Effects) Estimates of the Residential Housing Price Equation; 3. OLS and Within Estimates of Unrestricted Residential Housing Price Equation; 4. IV and GMM Panel Data Estimates of the Residential Housing Price Equation in First- Differences; 5. OLS Estimates of the Effect of Fundamentals on Residential Housing Prices in Cross- Country Data
• Sommario/riassunto: We examine the interest rate elasticity of housing prices, advancingthe empirical literature in two directions. First, we take a commonly used cross-country panel dataset and evaluate the housing price equation using a consistent estimator in the presence of endogenous explanatory variables and a lagged dependent variable. Second, we carry-out a novel analysis of determinants of residential housing prices in a cross-section of countries. Our results show that the short-term interest rate, and hence monetary policy, has a sizable impact on residential housing prices.