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The Responsiveness Of House Prices To Macroeconomic Forces: A Cross-Countr Y Comparison

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  • Diana Kasparova, Michael White
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    Abstract

    This paper examines housing markets in selected European Union countries and investigates the degree of similarity in housing market responses to changes in underlying demand- and supply-side variables. This may help to suggest how EU housing markets may be affected by a single monetary policy and whether housing market integration across the countries may be expected as a result of EMU. The choice of countries is explained followed by a description of the demand and supply characteristics of each country's housing markets. The paper then exploits a data set that has been constructed by combining data from each nation. Attention is paid to the statistical properties of variables used in estimations to construct accurate measurements to compare inter-country similarities/differences in housing market behaviour. The interaction of the housing market with the macroeconomy is then examined. The issue of monetary union and its impact on housing markets is discussed.

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    Bibliographic Info

    Article provided by Taylor and Francis Journals in its journal European Journal of Housing Policy.

    Volume (Year): 1 (2001)
    Issue (Month): 3 (December)
    Pages: 385-416

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    Handle: RePEc:taf:eurjhp:v:1:y:2001:i:3:p:385-416

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    Related research

    Keywords: Economic Convergence Housing Markets Granger Causality Cointegration Error Correction Mechanism;

    References

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    1. Phillips, P.C.B., 1986. "Testing for a Unit Root in Time Series Regression," Cahiers de recherche 8633, Universite de Montreal, Departement de sciences economiques.
    2. Hort, Katinka, 2000. "Prices and turnover in the market for owner-occupied homes," Regional Science and Urban Economics, Elsevier, vol. 30(1), pages 99-119, January.
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    4. Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-76, March.
    5. Meen, Geoffrey, 2000. "Housing Cycles and Efficiency," Scottish Journal of Political Economy, Scottish Economic Society, vol. 47(2), pages 114-40, May.
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    8. Muellbauer, John & Murphy, Anthony, 1997. "Booms and Busts in the UK Housing Market," CEPR Discussion Papers 1615, C.E.P.R. Discussion Papers.
    9. Perron, P., 1986. "Trends and Random Walks in Macroeconomic Time Series: Further Evidence From a New Approach," Cahiers de recherche 8650, Universite de Montreal, Departement de sciences economiques.
    10. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-80, November.
    11. Englund, P. & Ioannides, Y.M., 1996. "House Price Dynamics: An International Empirical Perspective," Papers 1996-01, Uppsala - Working Paper Series.
    12. Maclennan, Duncan & Muellbauer, John & Stephens, Mark, 1998. "Asymmetries in Housing and Financial Market Institutions and EMU," Oxford Review of Economic Policy, Oxford University Press, vol. 14(3), pages 54-80, Autumn.
    13. Matteo M. Iacoviello, 2000. "House prices and the macroeconomy in Europe: results from a structural VAR analysis," Working Paper Series 18, European Central Bank.
    14. Phillips, P C B, 1987. "Time Series Regression with a Unit Root," Econometrica, Econometric Society, vol. 55(2), pages 277-301, March.
    15. Ashworth, John & Parker, Simon C, 1997. "Modelling Regional House Prices in the UK," Scottish Journal of Political Economy, Scottish Economic Society, vol. 44(3), pages 225-46, August.
    16. Barry Eichengreen., 1993. "International Monetary Arrangements for the 21st Century," Center for International and Development Economics Research (CIDER) Working Papers C93-021, University of California at Berkeley.
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    Cited by:
    1. Barot, Bharat & Yang, Zan, 2002. "House Prices and Housing Investment in Sweden and the United Kingdom: Econometric Analysis for the Period 1970-1998," Working Paper 80, National Institute of Economic Research.

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