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Time-varying role of macroeconomic shocks on house prices in the US and UK: evidence from over 150 years of data

Author

Listed:
  • Vasilios Plakandaras

    (Democritus University of Thrace)

  • Rangan Gupta

    (University of Pretoria)

  • Constantinos Katrakilidis

    (Aristotle University of Thessaloniki)

  • Mark E. Wohar

    (University of Nebraska at Omaha
    Loughborough University)

Abstract

In this paper, we study the effect of macroeconomic shocks in the determination of house prices. Focusing on the US and the UK housing market, we employ time-varying vector autoregression models using Bayesian methods covering the periods of 1830–2016 and 1845–2016, respectively. We consider real house prices, output growth, short-term interest rates and inflation as input variables in order to unveil the effect of macroeconomic shocks on house prices. From the examination of the impulse responses of house prices on macroeconomic shocks, we find that technology shocks dominate in the US real estate market, while their effect is unimportant in the UK. In contrast, monetary policy drives most of the evolution of the UK house prices, while transitory house supply shocks are unimportant in either country. These findings are further corroborated with the analysis of conditional volatilities and correlations with macroeconomic shocks. Overall, we are able to unveil the dynamic linkages in the relationship of the macroeconomy and house prices. Over time, we analyze the variations in economic events happening at the imposition of the shock and uncover characteristics missed in the time-invariant approaches of previous studies.

Suggested Citation

  • Vasilios Plakandaras & Rangan Gupta & Constantinos Katrakilidis & Mark E. Wohar, 2020. "Time-varying role of macroeconomic shocks on house prices in the US and UK: evidence from over 150 years of data," Empirical Economics, Springer, vol. 58(5), pages 2249-2285, May.
    • Handle: RePEc:spr:empeco:v:58:y:2020:i:5:d:10.1007_s00181-018-1581-x
    DOI: 10.1007/s00181-018-1581-x
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    Cited by:

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    2. Oguzhan Cepni & Hardik A. Marfatia & Rangan Gupta, 2021. "The Time-Varying Impact of Uncertainty Shocks on the Comovement of Regional Housing Prices of the United Kingdom," Working Papers 202168, University of Pretoria, Department of Economics.
    3. Rangan Gupta & Zhihui Lv & Wing-Keung Wong, 2019. "Macroeconomic Shocks and Changing Dynamics of the U.S. REITs Sector," Sustainability, MDPI, vol. 11(10), pages 1-12, May.
    4. Mehmet Balcilar & Gizem Uzuner & Festus Victor Bekun & Mark E. Wohar, 2023. "Housing price uncertainty and housing prices in the UK in a time-varying environment," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 50(2), pages 523-549, May.
    5. Petre Caraiani & Adrian C. Călin & Rangan Gupta, 2021. "Monetary policy and bubbles in US REITs," International Review of Finance, International Review of Finance Ltd., vol. 21(2), pages 675-687, June.
    6. Afees A. Salisu & Rangan Gupta & Ahamuefula E. Ogbonna & Mark E. Wohar, 2022. "Uncertainty and predictability of real housing returns in the United Kingdom: A regional analysis," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(7), pages 1525-1556, November.
    7. Holmes, Mark J. & Otero, Jesús & Panagiotidis, Theodore, 2019. "Property heterogeneity and convergence club formation among local house prices," Journal of Housing Economics, Elsevier, vol. 43(C), pages 1-13.
    8. Mikhail Stolbov & Maria Shchepeleva, 2023. "Sentiment-based indicators of real estate market stress and systemic risk: international evidence," Annals of Finance, Springer, vol. 19(3), pages 355-382, September.
    9. Petre Caraiani & Rangan Gupta & Chi Keung Marco Lau & Hardik A. Marfatia, 2022. "Effects of Conventional and Unconventional Monetary Policy Shocks on Housing Prices in the United States: The Role of Sentiment," Journal of Behavioral Finance, Taylor & Francis Journals, vol. 23(3), pages 241-261, July.
    10. Christou, Christina & Gupta, Rangan & Nyakabawo, Wendy, 2019. "Time-varying impact of uncertainty shocks on the US housing market," Economics Letters, Elsevier, vol. 180(C), pages 15-20.
    11. Wendy Nyakabawo & Rangan Gupta & Hardik A. Marfatia, 2018. "High Frequency Impact Of Monetary Policy And Macroeconomic Surprises On Us Msas, Aggregate Us Housing Returns And Asymmetric Volatility," Advances in Decision Sciences, Asia University, Taiwan, vol. 22(1), pages 204-229, December.

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    More about this item

    Keywords

    Time-varying VAR; House prices; Macroeconomic shocks;
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    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • R30 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location - - - General

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