House price fluctuations and the business cycle dynamics

Girum Abate and Luc Anselin ()
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Luc Anselin: Arizona State University, Postal: GeoDa Center for Geospatial Analysis and Computation, School of Geographical Sciences and Urban Planning, Tempe, AZ, USA

CREATES Research Papers from Department of Economics and Business Economics, Aarhus University

Abstract: This paper investigates the impact of house price movements on output in a space-time dynamic framework. The transmission of house price fluctuations to the macroeconomy both across space and over time is explicitly considered through spatial econometric modeling techniques. Using 373 metropolitan areas in the US from 2001 to 2013, it is shown that house price fluctuations have detrimental effect on output growth and spillover from one location to another. The loss of output due to house price fluctuations is more pronounced during the recent financial crisis. The time varying recursive estimation of the space-time econometric model shows that the coefficient of spatial correlation has been increasing over time, reflecting an increasing trend in house price synchronization.

Keywords: House price fluctuations; output growth; space-time modeling (search for similar items in EconPapers)
JEL-codes: E30 E32 (search for similar items in EconPapers)
Pages: 28
Date: 2016-01-26
New Economics Papers: this item is included in nep-ban, nep-mac and nep-ure
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Persistent link: https://EconPapers.repec.org/RePEc:aah:create:2016-06

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