House Price Comovements in the Eurozone Economies
The 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.
References listed on IDEAS
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.:
- 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.
- de Bandt, O. & Barhoumi, K. & Bruneau, C., 2010.
"The international transmission of house price shocks,"
274, Banque de France.
- Catherine Bruneau & Olivier De Bandt & Karim Barhoumi, 2010. "The International Transmission of House Price Shocks," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00665531, HAL.
- 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?,"
8905, Michigan State - Econometrics and Economic Theory.
- 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.
- 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, H. Hashem & Shin, Yongcheol, 1998.
"Generalized impulse response analysis in linear multivariate models,"
Elsevier, vol. 58(1), pages 17-29, January.
- 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.
- 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.
- 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.
- 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.
When requesting a correction, please mention this item's handle: RePEc:ers:journl:v:xv:y:2012:i:1:p:71-98. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Giorgos Zachopoulos)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.