House Price Comovements in the Eurozone Economies
AbstractThe house price boom in major industrialized countries since the early 1990s has been unprecedented. Co-movement is a key feature of it and it has been attributed by scholars to synchronization of monetary policy, financial liberalization, integration of international financial markets, as well as global business cycle linkages. In this paper we focus on seven European countries, all members of the EMU, and ask the question if, the apparent co movement of the housing prices in the seven major euro zone economies implies convergence of their housing markets. Using monthly data from DSI Statistical Bases for 1990(1)-2009(4), we concentrate on the impact of the adoption of the common currency on real house prices movements. We conduct the analysis using country-specific macroeconomic variables and then extend it by adding foreign-specific macro variables to each country’s model. The empirical analysis includes cointegration analysis and VAR specifications. Our findings suggest that the movement of the housing prices of the euro zone countries apart from the well known fundamentals of GDP, interest rates and stock returns is also based on a number of idiosyncratic and structural factors like demographics, the tax system and government intervention which determine the duration and the strength of the housing cycles in each country. Furthermore, it seems that the degree of convergence underlying housing prices co movement is limited given the diversities in living standards, regulation of property markets, government intervention and attitudes to residential housing.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by European Research Studies Journal in its journal European Research Studies Journal.
Volume (Year): XV (2012)
Issue (Month): 1 ()
Contact details of provider:
Web page: http://www.ersj.eu/
House Prices; Comovement; Eurozone;
Find related papers by JEL classification:
- C31 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models
- D46 - Microeconomics - - Market Structure and Pricing - - - Value Theory
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- de Bandt, O. & Barhoumi, K. & Bruneau, C., 2010. "The international transmission of house price shocks," Working papers 274, Banque de France.
- Engle, Robert F. & Yoo, Byung Sam, 1987. "Forecasting and testing in co-integrated systems," Journal of Econometrics, Elsevier, vol. 35(1), pages 143-159, May.
- Kathleen Scanlon & Jens Lunde & Christine Whitehead, 2008. "Mortgage Product Innovation in Advanced Economies: More Choice, More Risk," International Journal of Housing Policy, Taylor & Francis Journals, vol. 8(2), pages 109-131.
- repec:ner:lselon:http://eprints.lse.ac.uk/29889/ is not listed on IDEAS
- Kwiatkowski, Denis & Phillips, Peter C. B. & Schmidt, Peter & Shin, Yongcheol, 1992.
"Testing the null hypothesis of stationarity against the alternative of a unit root : How sure are we that economic time series have a unit root?,"
Journal of Econometrics,
Elsevier, vol. 54(1-3), pages 159-178.
- Kwiatkowski, D. & Phillips, P.C.B. & Schmidt, P., 1990. "Testing the Null Hypothesis of Stationarity Against the Alternative of Unit Root : How Sure are we that Economic Time Series have a Unit Root?," Papers 8905, Michigan State - Econometrics and Economic Theory.
- Denis Kwiatkowski & Peter C.B. Phillips & Peter Schmidt, 1991. "Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root?," Cowles Foundation Discussion Papers 979, Cowles Foundation for Research in Economics, Yale University.
- Pesaran, M. H. & Shin, Y., 1997.
"Generalised Impulse Response Analysis in Linear Multivariate Models,"
Cambridge Working Papers in Economics
9710, Faculty of Economics, University of Cambridge.
- Pesaran, H. Hashem & Shin, Yongcheol, 1998. "Generalized impulse response analysis in linear multivariate models," Economics Letters, Elsevier, vol. 58(1), pages 17-29, January.
- Koop, Gary & Pesaran, M. Hashem & Potter, Simon M., 1996. "Impulse response analysis in nonlinear multivariate models," Journal of Econometrics, Elsevier, vol. 74(1), pages 119-147, September.
- Kathleen Scanlon & Jens Lunde & Christine Whitehead, 2008. "Mortgage Product Innovation in Advanced Economies: More Choice, More Risk," European Journal of Housing Policy, Taylor and Francis Journals, vol. 8(2), pages 109-131.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Eleni Giannakopoulou).
If references are entirely missing, you can add them using this form.