A retrospective analysis of the house prices macro-relationship in the United States

Ibrahim Ahamada and Jose Luis Diaz Sanchez
Authors registered in the RePEc Author Service: Jose Luis Diaz Sanchez

No 6549, Policy Research Working Paper Series from The World Bank

Abstract: This study provides empirical evidence on the strengthening of the impact of house prices on the US macroeconomy. The stability of the house prices macro-link is tested in a small-dimensional vector autoregressive model over the last fifty years. The estimated break-points are used to split the sample into different segments and a multivariate time series analysis is performed within subsamples. The paper finds a robust structural break in the mid-1980s. In addition, time series analysis across segments provides evidence that the effect of house prices, not only on private consumption, but also on economic activity, has intensified since the mid-1980s.

Keywords: Markets and Market Access; Economic Theory&Research; Financial Intermediation; Emerging Markets; Housing Finance (search for similar items in EconPapers)
Date: 2013-07-01
New Economics Papers: this item is included in nep-ure
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Citations: View citations in EconPapers (5)

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Related works:
Journal Article: A Retrospective Analysis of the House Prices Macro-Relationship in the United States (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:wbk:wbrwps:6549

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