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Housing prices and real effective exchange rates in 18 OECD countries: A bootstrap multivariate panel Granger causality

Mohsen Bahmani-Oskooee () and Tsung-Pao Wu

Economic Analysis and Policy, 2018, vol. 60, issue C, 119-126

Abstract: Through its inflationary effects, exchange rate changes could affect house prices. On the other hand, rising house prices could have a wealth effect on consumption and imports, inducing an increase in demand for foreign exchange. We apply a bootstrap multivariate panel Granger causality test to examine the causal relationship between house prices and real effective exchange rates across 18 OECD countries. After accounting for both dependency and heterogeneity across these countries, we find support for house prices causing exchange rate changes in half of the countries in our sample and exchange rates causing house price changes in another half.

Keywords: Bootstrap multivariate panel Granger causality test; Dependency and heterogeneity; House price; OECD countries; Real effective exchange rate (search for similar items in EconPapers)
JEL-codes: R12 F31 (search for similar items in EconPapers)
Date: 2018
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Handle: RePEc:eee:ecanpo:v:60:y:2018:i:c:p:119-126