Permanent and Transitory Dynamics in House Prices and Consumption: Cross-Country Evidence

Fabio C. Bagliano () and Claudio Morana ()
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Claudio Morana: Università del Piemonte Orientale and CeRP-Collegio Carlo Alberto, Turin

No 81, CeRP Working Papers from Center for Research on Pensions and Welfare Policies, Turin (Italy)

Abstract: In this paper a small-scale macroeconomic system is estimated in the framework of a common trends model, in order to explore the dynamic interactions between real house prices, consumption expenditure and output in the US and major European economies. The results point to important differences across countries, with long-run house price effects on consumption only for France, Germany and the US. However, some interactions between house prices and consumption are detected in all countries at shorter horizons. Evidence of international comovements in the common trend component of house price dynamics is also found.

New Economics Papers: this item is included in nep-eec, nep-mac and nep-ure
Date: 2009-02

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Related works:
Working Paper: Permanent and Transitory Dynamics in House Prices and Consumption: Cross-Country Evidence (2008)
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Persistent link: http://EconPapers.repec.org/RePEc:crp:wpaper:81

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