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House Prices and Business Cycles in Europe: a VAR Analysis

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  • Matteo Iacoviello

    ()
    (Boston College)

Abstract

A structural vector autoregressive approach identifies the main macroeconomic factors behind fluctuations in house prices in France, Germany, Italy, Spain, Sweden and the UK. Quarterly GDP, house prices, money, inflation and interest rates are characterised by a multivariate process driven by supply, nominal, monetary, inflationary and demand shocks. Tight money leads to a fall in real house prices; house price responses are hump-shaped; the responses of house prices and, to a lesser extent, GDP to a monetary shock can be partly justified by the different housing and financial market institutions across countries; transitory shocks drive a significant part of short-run house price fluctuations.

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Bibliographic Info

Paper provided by Boston College Department of Economics in its series Boston College Working Papers in Economics with number 540.

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Length: 43 pages
Date of creation: 03 Oct 2002
Date of revision:
Handle: RePEc:boc:bocoec:540

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Keywords: house prices; structural VAR; monetary policy;

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References

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Citations

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Cited by:
  1. Beatrice D. Simo-Kengne & Rangan Gupta & Goodness C. Aye, 2013. "Macro Shocks And House Prices In South Africa," Working Papers 201302, University of Pretoria, Department of Economics.
  2. Kai Carstensen & Oliver Hülsewig & Timo Wollmershäuser, 2009. "Monetary Policy Transmission and House Prices: European Cross Country Evidence," Working Paper / FINESS, DIW Berlin, German Institute for Economic Research 7.4, DIW Berlin, German Institute for Economic Research.
  3. Wadud, I.K.M. Mokhtarul & Bashar, Omar H.M.N. & Ahmed, Huson Joher Ali, 2012. "Monetary policy and the housing market in Australia," Journal of Policy Modeling, Elsevier, Elsevier, vol. 34(6), pages 849-863.
  4. Rangan Gupta & Marius Jurgilas & Alan Kabundi & Stephen M. Miller, 2009. "Monetary Policy and Housing Sector Dynamics in a Large-Scale Bayesian Vector Autoregressive Mode," Working Papers, University of Nevada, Las Vegas , Department of Economics 0919, University of Nevada, Las Vegas , Department of Economics.
  5. Jurgen von Hageny & Haiping Zhang, 2007. "A Welfare Analysis of Capital Liberalization," Macroeconomics Working Papers 22489, East Asian Bureau of Economic Research.
  6. Assenmacher-Wesche, Katrin & Gerlach, Stefan, 2008. "Ensuring financial stability: Financial structure and the impact of monetary policy on asset prices," IMFS Working Paper Series 16, Institute for Monetary and Financial Stability (IMFS), Goethe University Frankfurt.
  7. Horst Gischer & Mirko Weiß, 2007. "Entwicklung der Immobilienpreise im Euroraum: Bestandsaufnahme und makroökonomische Konsequenzen," Ifo Schnelldienst, Ifo Institute for Economic Research at the University of Munich, vol. 60(19), pages 27-42, October.
  8. Charles Ka Yui Leung, 2004. "Macroeconomics and Housing: A Review of the Literature," Discussion Papers, Chinese University of Hong Kong, Department of Economics 00004, Chinese University of Hong Kong, Department of Economics.
  9. Rangan Gupta & Marius Jurgilas & Alain Kabundi, 2009. "The Effect Of Monetary Policy On Real House Price Growth In South Africa: A Factor Augmented Vector Autoregression (Favar) Approach," Working Papers 200905, University of Pretoria, Department of Economics.
  10. Calza, Alessandro & Monacelli, Tommaso & Stracca, Livio, 2007. "Mortgage Markets, Collateral Constraints, and Monetary Policy: Do Institutional Factors Matter?," CEPR Discussion Papers, C.E.P.R. Discussion Papers 6231, C.E.P.R. Discussion Papers.
  11. Gerlach, Stefan & Assenmacher-Wesche, Katrin, 2008. "Financial structure and the impact of monetary policy on asset prices," CFS Working Paper Series 2008/30, Center for Financial Studies (CFS).
  12. Elbourne, Adam, 2008. "The UK housing market and the monetary policy transmission mechanism: An SVAR approach," Journal of Housing Economics, Elsevier, Elsevier, vol. 17(1), pages 65-87, March.
  13. Christophe Blot, 2006. "Peut-on parler de bulle sur le marché immobilier au Luxembourg ?," BCL working papers 20, Central Bank of Luxembourg.

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