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Do House Prices Impact Consumption and Interest Rate?: Evidence from OECD Countries Using an Agnostic Identification Procedure

  • Christophe André
  • Rangan Gupta
  • Patrick T. Kanda

This paper investigates the existence of significant spillovers from the housing sector onto the wider economy for the seven major OECD countries using Uhlig's (2005) agnostic identification procedure. This method allows a housing demand shock to be identified in a six-variable VAR model by imposing sign restrictions on the impulse responses of consumer prices, residential investment, real house prices and mortgage loans, while private consumption and nominal interest rate responses are left unrestricted. The results suggest that consumption responds positively and significantly to a house price shock in Canada, France, Japan and the UK. A significant positive delayed response of nominal interest rates follows a house price shock in Germany, Japan, the UK and the US, suggesting that while central banks do not seem to respond instantly and systematically to a housing demand shock, their repercussions on the economy tend to translate into higher policy rates after a few quarters. Les prix des logements affectent-ils la consommation et le taux d'intérêt ? : Une étude empirique sur des pays de l'OCDE utilisant une procédure d'identification agnostique Cet article étudie l'existence d’une inflence significative du secteur du logement sur l'économie dans son ensemble pour les sept grands pays de l’OCDE, en utilisant la procédure d'identification agnostique d’Uhlig (2005). Cette méthode permet l'identification d'un choc de demande de logement dans un modèle VAR à six variables en imposant des restrictions sur les signes des fonctions de réaction aux innovations des prix à la consommation, de l'investissement résidentiel, des prix réels des logements et des prêts hypothécaires, tandis que les réponses de la consommation privée et des taux d'intérêt nominaux sont laissées libres. Les résultats suggèrent que la consommation réagit positivement et significativement à un choc de prix des logements au Canada, en France, au Japon et au Royaume-Uni. D'autre part, une réponse positive, significative et retardée des taux d'intérêt nominaux suit un choc de prix des logements en Allemagne, au Japon, au Royaume-Uni et aux Etats-Unis, suggérant que si les banques centrales ne semblent pas réagir instantanément et systématiquement à un choc de demande de logement, les répercussions de ce dernier sur l'économie ont tendance à se traduire par des taux directeurs plus élevés après quelques trimestres.

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File URL: http://dx.doi.org/10.1787/5k9d192klphd-en
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Paper provided by OECD Publishing in its series OECD Economics Department Working Papers with number 947.

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Date of creation: 09 Mar 2012
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Handle: RePEc:oec:ecoaaa:947-en
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