A Retrospective Analysis of the House Prices Macro-Relationship in the United States
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. T...
| Main Authors: | , |
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| Language: | English en_US |
| Published: |
World Bank, Washington, DC
2013
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| Subjects: | |
| Online Access: | http://documents.worldbank.org/curated/en/2013/07/18052787/retrospective-analysis-house-prices-macro-relationship-united-states http://hdl.handle.net/10986/15908 |
| Summary: | 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. |
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