International house prices and macroeconomic fluctuations
Andrea Beltratti and
Claudio Morana ()
Journal of Banking & Finance, 2010, vol. 34, issue 3, 533-545
The paper investigates linkages between general macroeconomic conditions and the housing market for the G-7 area. Among the key results of the paper, we find that the US are an important source of global fluctuations not only for real activity, nominal variables and stock prices, but also for real housing prices. Secondly, albeit distinct driving forces for real activity and financial factors can be pointed out, sizeable global interactions are also evident. In particular, global supply-side shocks are an important determinant of G-7 house prices fluctuations. The linkage between real housing prices and macroeconomic developments is however bidirectional, with investment showing in general a stronger reaction than consumption and output to housing price shocks. Implications for the real effects of the sub-prime crisis are also explored.
Keywords: House; prices; International; business; cycle; Sub-prime; crisis; Factor; vector; autoregressive; models; G-7 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (61) Track citations by RSS feed
Downloads: (external link)
Full text for ScienceDirect subscribers only
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:34:y:2010:i:3:p:533-545
Access Statistics for this article
Journal of Banking & Finance is currently edited by Ike Mathur
More articles in Journal of Banking & Finance from Elsevier
Bibliographic data for series maintained by Haili He ().