A retrospective analysis of the house prices macro-relationship in the United States
AbstractThis study provides empirical evidence on the strengthening of the impact of house prices on the US macroeconomy. The stability of the house prices macro-link is tested in a small-dimensional vector autoregressive model over the last fifty years. The estimated break-points are used to split the sample into different segments and a multivariate time series analysis is performed within subsamples. The paper finds a robust structural break in the mid-1980s. In addition, time series analysis across segments provides evidence that the effect of house prices, not only on private consumption, but also on economic activity, has intensified since the mid-1980s.
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Bibliographic InfoPaper provided by The World Bank in its series Policy Research Working Paper Series with number 6549.
Date of creation: 01 Jul 2013
Date of revision:
Markets and Market Access; Economic Theory&Research; Financial Intermediation; Emerging Markets; Housing Finance;
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