House price dynamics: An international empirical perspective

The paper compares the dynamics of housing prices in 15 OECD countries. The data reveal a remarkable degree of similarity across countries and suggest rich dynamics for the first-differenced real annual house prices, with a significant structure of autocorrelation. We estimate a highly significant first-order autocorrelation coefficient of around 0.45 and obtain evidence of negative autocorrelation for lags up to 5 yr. The contemporaneous GDP growth rate and the rate of change in real rate of interest are very significant, along with the first-order lag, whose coefficient remains at 0.45. Lagged GDP growth and the real rate of interest exhibit significant predictive power. While house price dynamics across different open economies seem to be interdependent on descriptive grounds, our econometric results suggest weak evidence to that effect. (C) 1997 Academic Press.