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: | , |
|---|---|
| Format: | Policy Research Working Paper |
| Language: | English en_US |
| Published: |
World Bank, Washington, DC
2013
|
| 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 |
| id |
okr-10986-15908 |
|---|---|
| recordtype |
oai_dc |
| spelling |
okr-10986-159082021-04-23T14:03:26Z A Retrospective Analysis of the House Prices Macro-Relationship in the United States Ahamada, Ibrahim Diaz Sanchez, Jose Luis ACCOUNTING ASSET PRICE BORROWING BORROWING CONSTRAINTS CENTRAL BANK CONSUMER PRICE CONSUMER PRICE INDEX CONSUMERS CREDIT CONSTRAINTS DEREGULATION DEREGULATIONS DEVELOPMENT ECONOMICS DEVELOPMENT POLICY DISPOSABLE INCOME ECONOMETRICS ECONOMIC ACTIVITY ECONOMIC CRISIS ECONOMIC GROWTH ENDOGENOUS VARIABLES EXPENDITURE EXPENDITURES FEDERAL NATIONAL MORTGAGE ASSOCIATION FEDERAL RESERVE FINANCIAL INNOVATION FINANCIAL SECTOR FUTURE RESEARCH GDP GROSS DOMESTIC PRODUCT GROWTH RATE HOME EQUITY HOME PRICE HOUSEHOLD EXPENDITURES HOUSES HOUSING HOUSING FINANCE HOUSING MARKET HOUSING MARKETS INFLATION INFLATION RATE INTEREST RATES MACROECONOMICS MARGINAL PROPENSITY TO CONSUME MARKET LIBERALIZATION MONETARY POLICY MORTGAGE MORTGAGE CORPORATION MORTGAGE LOANS MORTGAGE MARKET MORTGAGE MARKETS MORTGAGE ORIGINATORS POLITICAL ECONOMY PRICE SERIES PRICE STABILITY PRICES INDEX PRIVATIZATION REAL ESTATE REAL GROSS DOMESTIC PRODUCT SAVINGS SECONDARY MARKET SECONDARY MARKETS STOCK MARKET STRUCTURAL CHANGE TRANSACTION COSTS WEALTH vector autoregressive 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. 2013-09-27T18:26:19Z 2013-09-27T18:26:19Z 2013-07 http://documents.worldbank.org/curated/en/2013/07/18052787/retrospective-analysis-house-prices-macro-relationship-united-states http://hdl.handle.net/10986/15908 English en_US Policy Research Working Paper;No. 6549 CC BY 3.0 IGO http://creativecommons.org/licenses/by/3.0/igo/ World Bank World Bank, Washington, DC Publications & Research :: Policy Research Working Paper Publications & Research UNITED STATES |
| repository_type |
Digital Repository |
| institution_category |
Foreign Institution |
| institution |
Digital Repositories |
| building |
World Bank Open Knowledge Repository |
| collection |
World Bank |
| language |
English en_US |
| topic |
ACCOUNTING ASSET PRICE BORROWING BORROWING CONSTRAINTS CENTRAL BANK CONSUMER PRICE CONSUMER PRICE INDEX CONSUMERS CREDIT CONSTRAINTS DEREGULATION DEREGULATIONS DEVELOPMENT ECONOMICS DEVELOPMENT POLICY DISPOSABLE INCOME ECONOMETRICS ECONOMIC ACTIVITY ECONOMIC CRISIS ECONOMIC GROWTH ENDOGENOUS VARIABLES EXPENDITURE EXPENDITURES FEDERAL NATIONAL MORTGAGE ASSOCIATION FEDERAL RESERVE FINANCIAL INNOVATION FINANCIAL SECTOR FUTURE RESEARCH GDP GROSS DOMESTIC PRODUCT GROWTH RATE HOME EQUITY HOME PRICE HOUSEHOLD EXPENDITURES HOUSES HOUSING HOUSING FINANCE HOUSING MARKET HOUSING MARKETS INFLATION INFLATION RATE INTEREST RATES MACROECONOMICS MARGINAL PROPENSITY TO CONSUME MARKET LIBERALIZATION MONETARY POLICY MORTGAGE MORTGAGE CORPORATION MORTGAGE LOANS MORTGAGE MARKET MORTGAGE MARKETS MORTGAGE ORIGINATORS POLITICAL ECONOMY PRICE SERIES PRICE STABILITY PRICES INDEX PRIVATIZATION REAL ESTATE REAL GROSS DOMESTIC PRODUCT SAVINGS SECONDARY MARKET SECONDARY MARKETS STOCK MARKET STRUCTURAL CHANGE TRANSACTION COSTS WEALTH vector autoregressive |
| spellingShingle |
ACCOUNTING ASSET PRICE BORROWING BORROWING CONSTRAINTS CENTRAL BANK CONSUMER PRICE CONSUMER PRICE INDEX CONSUMERS CREDIT CONSTRAINTS DEREGULATION DEREGULATIONS DEVELOPMENT ECONOMICS DEVELOPMENT POLICY DISPOSABLE INCOME ECONOMETRICS ECONOMIC ACTIVITY ECONOMIC CRISIS ECONOMIC GROWTH ENDOGENOUS VARIABLES EXPENDITURE EXPENDITURES FEDERAL NATIONAL MORTGAGE ASSOCIATION FEDERAL RESERVE FINANCIAL INNOVATION FINANCIAL SECTOR FUTURE RESEARCH GDP GROSS DOMESTIC PRODUCT GROWTH RATE HOME EQUITY HOME PRICE HOUSEHOLD EXPENDITURES HOUSES HOUSING HOUSING FINANCE HOUSING MARKET HOUSING MARKETS INFLATION INFLATION RATE INTEREST RATES MACROECONOMICS MARGINAL PROPENSITY TO CONSUME MARKET LIBERALIZATION MONETARY POLICY MORTGAGE MORTGAGE CORPORATION MORTGAGE LOANS MORTGAGE MARKET MORTGAGE MARKETS MORTGAGE ORIGINATORS POLITICAL ECONOMY PRICE SERIES PRICE STABILITY PRICES INDEX PRIVATIZATION REAL ESTATE REAL GROSS DOMESTIC PRODUCT SAVINGS SECONDARY MARKET SECONDARY MARKETS STOCK MARKET STRUCTURAL CHANGE TRANSACTION COSTS WEALTH vector autoregressive Ahamada, Ibrahim Diaz Sanchez, Jose Luis A Retrospective Analysis of the House Prices Macro-Relationship in the United States |
| geographic_facet |
UNITED STATES |
| relation |
Policy Research Working Paper;No. 6549 |
| description |
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. |
| format |
Publications & Research :: Policy Research Working Paper |
| author |
Ahamada, Ibrahim Diaz Sanchez, Jose Luis |
| author_facet |
Ahamada, Ibrahim Diaz Sanchez, Jose Luis |
| author_sort |
Ahamada, Ibrahim |
| title |
A Retrospective Analysis of the House Prices Macro-Relationship in the United States |
| title_short |
A Retrospective Analysis of the House Prices Macro-Relationship in the United States |
| title_full |
A Retrospective Analysis of the House Prices Macro-Relationship in the United States |
| title_fullStr |
A Retrospective Analysis of the House Prices Macro-Relationship in the United States |
| title_full_unstemmed |
A Retrospective Analysis of the House Prices Macro-Relationship in the United States |
| title_sort |
retrospective analysis of the house prices macro-relationship in the united states |
| publisher |
World Bank, Washington, DC |
| publishDate |
2013 |
| url |
http://documents.worldbank.org/curated/en/2013/07/18052787/retrospective-analysis-house-prices-macro-relationship-united-states http://hdl.handle.net/10986/15908 |
| _version_ |
1764431928249810944 |