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A Retrospective Analysis of the House Prices Macro-Relationship in the United States

Author

Listed:
  • Ibrahim Ahamada

    (International Monetary Fund)

  • Jose Luis Diaz Sanchez

    (Paris School of Economics, University of Paris 1 Pantheon-Sorbonne and The World Bank)

Abstract
This study provides empirical evidence on the strengthening of the impact of house prices on the U.S. macroeconomy. The stability of the house price 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 sub-samples. The paper finds a robust structural break in the mid-80s. 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-80s.

Suggested Citation

  • Ibrahim Ahamada & Jose Luis Diaz Sanchez, 2013. "A Retrospective Analysis of the House Prices Macro-Relationship in the United States," International Journal of Central Banking, International Journal of Central Banking, vol. 9(4), pages 153-174, December.
    • Handle: RePEc:ijc:ijcjou:y:2013:q:4:a:5
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    References listed on IDEAS

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    Cited by:

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    2. Tamás Kiss & Hoang Nguyen & Pär Österholm, 2021. "Modelling Returns in US Housing Prices—You’re the One for Me, Fat Tails," JRFM, MDPI, vol. 14(11), pages 1-17, October.
    3. Roth, Markus, 2020. "Partial pooling with cross-country priors: An application to house price shocks," Discussion Papers 06/2020, Deutsche Bundesbank.
    4. Yang Yang & Michael Rehm & Mingquan Zhou, 2021. "Housing Price Volatility: What's the Difference between Investment and Owner‐Occupancy?," The Economic Record, The Economic Society of Australia, vol. 97(319), pages 548-563, December.
    5. Djamel KIRAT & Claire GAVARD, 2020. "Short-term impacts of carbon offsetting on emissions trading schemes: empirical insights from the EU experience," LEO Working Papers / DR LEO 2821, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
    6. Mahua Barari & Srikanta Kundu, 2019. "The Role of the Federal Reserve in the U.S. Housing Crisis: A VAR Analysis with Endogenous Structural Breaks," JRFM, MDPI, vol. 12(3), pages 1-20, July.

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    More about this item

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E20 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - General (includes Measurement and Data)
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • R30 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location - - - General

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