International shocks and national house prices

Andrea Beltratti and Claudio Morana

ICER Working Papers - Applied Mathematics Series from ICER - International Centre for Economic Research

Abstract: The paper investigates linkages between general macroeconomic conditions and the housing market for the G-7 area. Among the key results of the paper, it is found that the US are an important source of global fluctuations not only for real activity, nominal variables and stock prices, but also for housing prices. Yet, also regional factors may be relevant to account for house prices dynamics. Secondly, albeit distinct driving forces for real activity and ?nancial factors can be pointed out, sizeable global interactions can be found. In particular, global supply-side shocks are found to be important determinant of G-7 house prices fluctuations. The linkage between housing prices and macroeconomic developments is however bidirectional, since evidence of signi?cant wealth e¤ects can be found, with investment showing in general a stronger reaction than consumption and output.

Keywords: G7; house prices; international business cycle; factor vector autoregressive models; common factors (search for similar items in EconPapers)
JEL-codes: C22 E31 E32 (search for similar items in EconPapers)
Pages: 36 pages
Date: 2008-06
New Economics Papers: this item is included in nep-ure
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.bemservizi.unito.it/repec/icr/wp2008/ICERwp14-08.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:icr:wpmath:14-2008

Access Statistics for this paper

More papers in ICER Working Papers - Applied Mathematics Series from ICER - International Centre for Economic Research Corso Unione Sovietica, 218bis - 10134 Torino - Italy. Contact information at EDIRC.
Bibliographic data for series maintained by Daniele Pennesi ().