A Retrospective Analysis of the House Prices Macro-Relationship in the United States
19 Pages Posted: 20 Apr 2016
Date Written: July 1, 2013
This study provides empirical evidence on the strengthening of the impact of house prices on the US macroeconomy. The stability of the house prices macro-link is tested in a small-dimensional vector autoregressive model over the last fifty years. The estimated break-points are used to split the sample into different segments and a multivariate time series analysis is performed within subsamples. The paper finds a robust structural break in the mid-1980s. In addition, time series analysis across segments provides evidence that the effect of house prices, not only on private consumption, but also on economic activity, has intensified since the mid-1980s.
Keywords: Markets and Market Access, Economic Theory & Research, Financial Intermediation, Emerging Markets, Housing Finance
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