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dc.contributor.authorBlack, Angelaen_NZ
dc.contributor.authorHoesli, Martinen_NZ
dc.contributor.authorFraser, Patriciaen_NZ
dc.date.available2011-04-07T03:19:00Z
dc.date.copyright2005-02-09en_NZ
dc.identifier.citationBlack, A., Hoesli, M., & Fraser, P. (2005, February 9). House Prices, fundamentals and Inflation. University of Otago Department of Finance Seminar Series.en
dc.identifier.urihttp://hdl.handle.net/10523/1525
dc.description.abstractThis paper studies actual house prices relative to fundamental house prices. Using UK data and a time-varying present value approach, we find that deviations of house prices from their fundamental value (as warranted by real disposable income) are significant but not dominated by speculative activity; the driving force appears to be over-sensitivity to expectations about fundamentals. Our findings suggest that inflation (excluding house prices) responds asymmetrically with more impact on future inflation from turning points at peaks of overvaluation compared to turning points at troughs of undervaluation; and the turning points appear to have independent forecasting ability for inflation. This suggests that house prices have information about inflation which could be exploited by the Monetary Policy Committee (MPC).en_NZ
dc.format.mimetypeapplication/pdf
dc.relation.ispartofUniversity of Otago Department of Finance Seminar Seriesen_NZ
dc.relation.urihttp://www.business.otago.ac.nz/finc/research/seminars_05.htmlen_NZ
dc.subjecthouse pricesen_NZ
dc.subjecttime-varying present value approachen_NZ
dc.subjectfundamental valueen_NZ
dc.subjectundervaluationen_NZ
dc.subjectMonetary Policy Committeeen_NZ
dc.subjectInflationen_NZ
dc.subject.lcshHF Commerceen_NZ
dc.subject.lcshHF5601 Accountingen_NZ
dc.subject.lcshHG Financeen_NZ
dc.titleHouse Prices, fundamentals and Inflationen_NZ
dc.typeConference or Workshop Item (Seminar, Speech or Other Presentation)en_NZ
dc.description.versionUnpublisheden_NZ
otago.bitstream.pages31en_NZ
otago.date.accession2007-04-12en_NZ
otago.schoolFinanceen_NZ
otago.openaccessOpen
otago.place.publicationDunedin, New Zealanden_NZ
dc.identifier.eprints625en_NZ
dc.description.refereedNon Peer Revieweden_NZ
otago.school.eprintsFinance & Quantitative Analysisen_NZ
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