House Prices and the Macroeconomy in Europe: Results from a Structural VAR Analysis

By Matteo Iacoviello. Social Science Research Network, 2000

119 citations recorded by the source corpus.

A structural vector autoregressive (SVAR) approach is used to identify the forces driving house prices fluctuations in France, Germany, Italy, Spain, Sweden and the UK over the period 1970-1998. Quarterly time series for real house prices, GDP, money, inflation and interest rates are characterised by a multivariate process driven by supply, nominal, monetary, inflationary and demand shocks. It is found that: (1) tight money leads to a concomitant fall in house prices and GDP; (2) the house price responses to a monetary shock can be partly justified by the different housing and financial market institutions across countries; (3) monetary and demand shocks drive most of the short-run house price volatility. The paper also interprets the main house price cycles and their links with the real economy in light of the estimates shocks. JEL Classification: C32, E32, E52, R21

Subfields: Economics and Econometrics

View Paper: https://www.semanticscholar.org/paper/caf8e5ecdc7b04e4901b48faabf76fd6c69518a5

Citations in the corpus

• House prices, borrowing constraints and monetary policy in the business cycle (2005, unknown): “0 50 100 150 200 250 300 350 400 450 500 0.8 0.9 1 1.1 1.2 1.3 c y 0 50 100 150 200 250 300 350 400 450 500 0.4 0.45 0.5 0.55 0.6 Time in quarters b/h”