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.

Morana, C., Beltratti, A. (2010). International house prices and macroeconomic fluctuations. JOURNAL OF BANKING & FINANCE, 34(3), 533-545 [10.1016/j.jbankfin.2009.08.020].

International house prices and macroeconomic fluctuations

MORANA, CLAUDIO;
2010

Abstract

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.
Articolo in rivista - Articolo scientifico
Factor vector autoregressive models; G-7; House prices; International business cycle; Sub-prime crisis;
English
2010
34
3
533
545
none
Morana, C., Beltratti, A. (2010). International house prices and macroeconomic fluctuations. JOURNAL OF BANKING & FINANCE, 34(3), 533-545 [10.1016/j.jbankfin.2009.08.020].
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10281/26073
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