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The Responsiveness Of House Prices To Macroeconomic Forces: A Cross-Countr Y Comparison

  • Diana Kasparova, Michael White
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    This paper examines housing markets in selected European Union countries and investigates the degree of similarity in housing market responses to changes in underlying demand- and supply-side variables. This may help to suggest how EU housing markets may be affected by a single monetary policy and whether housing market integration across the countries may be expected as a result of EMU. The choice of countries is explained followed by a description of the demand and supply characteristics of each country's housing markets. The paper then exploits a data set that has been constructed by combining data from each nation. Attention is paid to the statistical properties of variables used in estimations to construct accurate measurements to compare inter-country similarities/differences in housing market behaviour. The interaction of the housing market with the macroeconomy is then examined. The issue of monetary union and its impact on housing markets is discussed.

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    Article provided by Taylor and Francis Journals in its journal European Journal of Housing Policy.

    Volume (Year): 1 (2001)
    Issue (Month): 3 (December)
    Pages: 385-416

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    Handle: RePEc:taf:eurjhp:v:1:y:2001:i:3:p:385-416
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    1. Perron, Pierre, 1988. "Trends and random walks in macroeconomic time series : Further evidence from a new approach," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 297-332.
    2. Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-76, March.
    3. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-80, November.
    4. Peter C.B. Phillips & Pierre Perron, 1986. "Testing for a Unit Root in Time Series Regression," Cowles Foundation Discussion Papers 795R, Cowles Foundation for Research in Economics, Yale University, revised Sep 1987.
    5. Ashworth, John & Parker, Simon C, 1997. "Modelling Regional House Prices in the UK," Scottish Journal of Political Economy, Scottish Economic Society, vol. 44(3), pages 225-46, August.
    6. Campbell, John Y. & Mankiw, N. Gregory, 1990. "Permanent Income, Current Income, and Consumption," Scholarly Articles 3353762, Harvard University Department of Economics.
    7. Meen, Geoffrey, 2000. "Housing Cycles and Efficiency," Scottish Journal of Political Economy, Scottish Economic Society, vol. 47(2), pages 114-40, May.
    8. Carruth, Alan & Henley, Andrew, 1992. "Consumer Durables Spending and Housing Market Activity," Scottish Journal of Political Economy, Scottish Economic Society, vol. 39(3), pages 261-71, August.
    9. Phillips, P C B, 1987. "Time Series Regression with a Unit Root," Econometrica, Econometric Society, vol. 55(2), pages 277-301, March.
    10. Muellbauer, John & Murphy, Anthony, 1997. "Booms and Busts in the UK Housing Market," CEPR Discussion Papers 1615, C.E.P.R. Discussion Papers.
    11. Englund, P. & Ioannides, Y.M., 1996. "House Price Dynamics: An International Empirical Perspective," Papers 1996-01, Uppsala - Working Paper Series.
    12. Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, vol. 37(3), pages 424-38, July.
    13. Maclennan, Duncan & Muellbauer, John & Stephens, Mark, 1999. "Asymmetries in Housing and Financial Market Institutions and EMU," CEPR Discussion Papers 2062, C.E.P.R. Discussion Papers.
    14. Barry Eichengreen., 1993. "International Monetary Arrangements for the 21st Century," Center for International and Development Economics Research (CIDER) Working Papers C93-021, University of California at Berkeley.
    15. Eichengreen, Barry, 1998. "European Monetary Unification: A Tour d'Horizon," Oxford Review of Economic Policy, Oxford University Press, vol. 14(3), pages 24-40, Autumn.
    16. repec:cup:cbooks:9780521558839 is not listed on IDEAS
    17. Hort, Katinka, 2000. "Prices and turnover in the market for owner-occupied homes," Regional Science and Urban Economics, Elsevier, vol. 30(1), pages 99-119, January.
    18. Iacoviello, Matteo, 2000. "House prices and the macroeconomy in Europe: Results from a structural var analysis," Working Paper Series 0018, European Central Bank.
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