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Permanent and Transitory Dynamics in House Prices and Consumption: Cross-Country Evidence

Author

Listed:
  • Fabio C. Bagliano

    (Department of Economics and Public Finance "G. Prato", University of Torino)

  • Claudio Morana

    (Department of Economics and Quantitative Methods, University of Eastern Piedmont)

Abstract

In this paper a small-scale macroeconomic system is estimated in the framework of a common trends model, in order to explore the dynamic interactions between real house prices, consumption expenditure and output in the US and major European economies. The results point to important differences across countries, with long-run house price effects on consumption only for France, Germany and the US. However, some interactions between house prices and consumption are detected in all countries at shorter horizons. Evidence of international comovements in the common trend component of house price dynamics is also found.

Suggested Citation

  • Fabio C. Bagliano & Claudio Morana, 2008. "Permanent and Transitory Dynamics in House Prices and Consumption: Cross-Country Evidence," Working papers 02, Former Department of Economics and Public Finance "G. Prato", University of Torino.
    • Handle: RePEc:tur:wpaper:02
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    References listed on IDEAS

    as
    1. Charles Himmelberg & Christopher Mayer & Todd Sinai, 2005. "Assessing High House Prices: Bubbles, Fundamentals and Misperceptions," Journal of Economic Perspectives, American Economic Association, vol. 19(4), pages 67-92, Fall.
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    More about this item

    Keywords

    house prices; consumption; common trends;
    All these keywords.

    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
    • E21 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Consumption; Saving; Wealth

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