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Housing Cycles In The Major Euro Area Countries

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  • Luis J. Álvarez

    ()
    (Banco de España)

  • Guido Bulligan

    ()
    (Banca d’Italia)

  • Alberto Cabrero

    ()
    (Banco de España)

  • Laurent Ferrara

    ()
    (Banque de France)

  • Harald Stahl

    ()
    (Deutsche Bundesbank)

Abstract

The recent burst of the house price bubble in the United States and its spillover effects on real economies worldwide has rekindled the interest in the role of housing in the business cycle. In this paper, we investigate the relationships between housing cycles among the four major euro area countries (Germany, France, Italy and Spain) over the sample 1980Q1-2008Q4. Our main findings are that GDP cycles show a high degree of comovement across these four countries, reflecting trade linkages, but much weaker ones for housing market cycles, where idiosyncratic factors play a major role. House prices are even less related than quantities across countries. We also find much stronger relationships in the common monetary policy period.

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File URL: http://www.bde.es/f/webbde/SES/Secciones/Publicaciones/PublicacionesSeriadas/DocumentosOcasionales/10/Fic/do1001e.pdf
File Function: First version, March 2010
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Bibliographic Info

Paper provided by Banco de Espa�a in its series Banco de Espa�a Occasional Papers with number 1001.

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Length: 43 pages
Date of creation: Mar 2010
Date of revision:
Handle: RePEc:bde:opaper:1001

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Keywords: Housing cycles; synchronisation measures; euro area countries;

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References

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  1. Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-84, March.
  2. Artis, Michael J & Krolzig, Hans-Martin & Toro, Juan, 1999. "The European Business Cycle," CEPR Discussion Papers 2242, C.E.P.R. Discussion Papers.
  3. Knetsch, Thomas A., 2010. "Trend and cycle features in German residential investment before and after reunification," Discussion Paper Series 1: Economic Studies 2010,10, Deutsche Bundesbank, Research Centre.
  4. Don Harding & Adrian Pagan, 2000. "Disecting the Cycle: A Methodological Investigation," Econometric Society World Congress 2000 Contributed Papers 1164, Econometric Society.
  5. Peter Hoeller & David Rae, 2007. "Housing Markets and Adjustment in Monetary Union," OECD Economics Department Working Papers 550, OECD Publishing.
  6. Harding, Don & Pagan, Adrian, 2006. "Synchronization of cycles," Journal of Econometrics, Elsevier, vol. 132(1), pages 59-79, May.
  7. Gomez, Victor, 2001. "The Use of Butterworth Filters for Trend and Cycle Estimation in Economic Time Series," Journal of Business & Economic Statistics, American Statistical Association, vol. 19(3), pages 365-73, July.
  8. Luis J. Álvarez & Alberto Cabrero, 2010. "Does housing really lead the business cycle?," Banco de Espa�a Working Papers 1024, Banco de Espa�a.
  9. Hans-Martin Krolzig, 2001. "Markov-Switching Procedures for Dating the Euro-Zone Business Cycle," Vierteljahrshefte zur Wirtschaftsforschung / Quarterly Journal of Economic Research, DIW Berlin, German Institute for Economic Research, vol. 70(3), pages 339-351.
  10. Pilar Bengoechea & Gabriel Pérez-Quirós, 2004. "A useful tool to identify recessions in the euro-area," Banco de Espa�a Working Papers 0419, Banco de Espa�a.
  11. Bertrand Candelon & Jan Piplack & Stefan Straetmans, 2009. "Multivariate Business Cycle Synchronization in Small Samples," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 71(5), pages 715-737, October.
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Cited by:
  1. Christophe Andre & Luis A. Gil-Alana & Rangan Gupta, 2013. "Comovement in Euro Area Housing Prices: A Fractional Cointegration Approach," Working Papers 201359, University of Pretoria, Department of Economics.
  2. Knetsch, Thomas A., 2010. "Trend and cycle features in German residential investment before and after reunification," Discussion Paper Series 1: Economic Studies 2010,10, Deutsche Bundesbank, Research Centre.
  3. Sonsoles Gallego & Sándor Gardó & Reiner Martin & Luis Molina & José María Serena, 2010. "The Impact of the Global Economic and Financial Crisis on Central Eastern and SouthEastern Europe (CESEE) and Latin America," Banco de Espa�a Occasional Papers 1002, Banco de Espa�a.
  4. Hideaki Hirata & M. Ayhan Kose & Christopher Otrok & Marco E Terrones, 2013. "Global House Price Fluctuations: Synchronization and Determinants," NBER International Seminar on Macroeconomics, University of Chicago Press, vol. 9(1), pages 119 - 166.
  5. Hideaki Hirata & M. Ayhan Kose & Christopher Otrok & Marco Terrones, 2013. "Global House Price Fluctuations," IMF Working Papers 13/38, International Monetary Fund.
  6. Maurin, Laurent & Roma, Moreno & Vetlov, Igor, 2011. "Profit dynamics across the largest euro area countries and sectors," Working Paper Series 1410, European Central Bank.
  7. Klaus Schmidt-Hebbel, 2011. "Central banking in Latin America: changes, achievements, challenges," Banco de Espa�a Occasional Papers 1102, Banco de Espa�a.
  8. Ambrogio Cesa-Bianchi, 2012. "Housing Cycles and Macroeconomic Fluctuations: A Global Perspective," Research Department Publications 4810, Inter-American Development Bank, Research Department.
  9. Ferrara, L. & Vigna, O., 2009. "Cyclical relationships between GDP and housing market in France: Facts and factors at play," Working papers 268, Banque de France.
  10. Luis J. Álvarez & Alberto Cabrero, 2010. "Does housing really lead the business cycle?," Banco de Espa�a Working Papers 1024, Banco de Espa�a.
  11. Aye, Goodness C. & Balcilar, Mehmet & Bosch, Adél & Gupta, Rangan, 2014. "Housing and the business cycle in South Africa," Journal of Policy Modeling, Elsevier, vol. 36(3), pages 471-491.

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