Real estate markets and the macroeconomy: A dynamic coherence framework

Ranoua Bouchouicha and Zied Ftiti ()

Economic Modelling, 2012, vol. 29, issue 5, 1820-1829

Abstract: This paper analyzes the dynamic interactions between real estate markets, in the US and the UK and their macroeconomic environments. We apply a new approach based on a dynamic coherence function (DCF) to study these interactions bringing together different real estate markets (the securitized market, the commercial market and the residential market). The results suggest that there is a common trend that drives the different real estate markets in the UK and the US, particularly in the long run, since they have a similar shape of the DCF. We also find that, in the US, wealth and housing expenditure channels are very conductive during real estate crises. However, in the UK, only the wealth effect is significant as a transmission channel during real estate market downturns. In addition, real estate markets in the UK and the US react differently to institutional shocks. This brings some insights on the conduct of monetary policy in order to avoid disturbances in real estate markets.

Keywords: Real estate markets; Macroeconomic factors; Dynamic coherence; Evolutionary co-spectral analysis (search for similar items in EconPapers)
JEL-codes: C22 E4 G1 R3 (search for similar items in EconPapers)
Date: 2012
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (44)

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Working Paper: Real estate markets and the macroeconomy: A dynamic coherence framework (2012)
Working Paper: Real estate markets and the macroeconomy: A dynamic coherence framework (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:29:y:2012:i:5:p:1820-1829

DOI: 10.1016/j.econmod.2012.05.034

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