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House Prices and Business Cycles in Europe: a VAR Analysis

  • Matteo Iacoviello

    ()

    (Boston College)

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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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
Contact details of provider: Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA
Phone: 617-552-3670
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Web page: http://fmwww.bc.edu/EC/
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