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Ahearn, A., Ammer, J., Doyle, B., Kole, L. and Martin, R. (2005) Housing Prices and Monetary Policy: A Cross-Country Study. International Finance Discussion Paper Series No. 841, Federal Reserve Board, Washington DC.

has been cited by the following article:

• TITLE: Duration Dependence in Housing Price Market: A Metro Level Test in United States

  AUTHORS: Ali Shajarizadeh, Marcel Voia

  KEYWORDS: Discrete Hazard Model, Duration Dependence, Housing Price Market

  JOURNAL NAME: Applied Mathematics, Vol.5 No.19, November 5, 2014

  ABSTRACT: Duration dependence affects the dynamics of multi sate time to event outcomes. In this paper we are testing if a contraction or an expansion state for the housing price is duration dependent on previous states lengths. This test has implications for explaining the dynamics and the predictability of the housing prices in subsequent spells of contraction/expansion. The test is carried on using a discrete time duration model. This research shows that federal fund rate has strong effect on duration of both expansion and contraction. The analysis is also showing that while for both contraction and expansion spells we observe duration dependence, the risk of exiting from either spell at the beginning of the spell is practically flat for the first five to six years in the expansion spells and between seven and eight years in the contraction spells. After these periods the risk of exiting an expansion spell is increasing but in a non-monotone way, while for the contraction spell the risk of exiting the state is increasing in a monotone way, making the contraction periods easier to predict than the expansion periods.