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International shocks and national house prices

Author

Listed:
  • Andrea Beltratti
  • Claudio Morana

Abstract

The paper investigates linkages between general macroeconomic conditions and the housing market for the G-7 area. Among the key results of the paper, it is found that the US are an important source of global fluctuations not only for real activity, nominal variables and stock prices, but also for housing prices. Yet, also regional factors may be relevant to account for house prices dynamics. Secondly, albeit distinct driving forces for real activity and ?nancial factors can be pointed out, sizeable global interactions can be found. In particular, global supply-side shocks are found to be important determinant of G-7 house prices fluctuations. The linkage between housing prices and macroeconomic developments is however bidirectional, since evidence of signi?cant wealth e¤ects can be found, with investment showing in general a stronger reaction than consumption and output.

Suggested Citation

  • Andrea Beltratti & Claudio Morana, 2008. "International shocks and national house prices," ICER Working Papers - Applied Mathematics Series 14-2008, ICER - International Centre for Economic Research.
    • Handle: RePEc:icr:wpmath:14-2008
    as

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    File URL: http://www.bemservizi.unito.it/repec/icr/wp2008/ICERwp14-08.pdf
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    References listed on IDEAS

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    More about this item

    Keywords

    G7; house prices; international business cycle; factor vector autoregressive models; common factors;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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