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

Fabio Bagliano and Claudio Morana

No 2, Working papers from Former Department of Economics and Public Finance "G. Prato", University of Torino

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.

Keywords: house prices; consumption; common trends (search for similar items in EconPapers)
JEL-codes: C32 E21 (search for similar items in EconPapers)
Pages: 34 pages
Date: 2008-12
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.bemservizi.unito.it/repec/tur/wpaper/n2.pdf First version, 2008 (application/pdf)

Related works:
Working Paper: Permanent and Transitory Dynamics in House Prices and Consumption: Cross-Country Evidence (2009)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:tur:wpaper:02

Access Statistics for this paper

More papers in Working papers from Former Department of Economics and Public Finance "G. Prato", University of Torino Contact information at EDIRC.
Bibliographic data for series maintained by Daniele Pennesi ().