International house prices and macroeconomic fluctuations

被引：109

作者：

Beltratti, Andrea ^{[2
]}

Morana, Claudio ^{[1
,3
,4
]}

机构：

[1] Univ Piemonte Orientale, Dipartimento Sci Econ & Metodi Quantitat, I-28100 Novara, Italy

[2] Univ Bocconi, Dipartimento Finanza, I-20100 Milan, Italy

[3] Int Ctr Econ Res, Turin, Italy

[4] Ctr Res Pens & Welf Policies CeRP, Turin, Italy

来源：

JOURNAL OF BANKING & FINANCE | 2010年 / 34卷 / 03期

关键词：

House prices; International business cycle; Sub-prime crisis; Factor vector autoregressive models; G-7; CYCLE;

D O I：

10.1016/j.jbankfin.2009.08.020

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

The paper investigates linkages between general macroeconomic conditions and the housing market for the G-7 area. Among the key results of the paper, we find that the US are all important source of global fluctuations not only for real activity, nominal variables and stock prices, but also for real housing prices. Secondly, albeit distinct driving forces for real activity and financial factors can be pointed out, sizeable global interactions are also evident. In particular, global supply-side shocks are an important determinant of G-7 house prices fluctuations. The linkage between real housing prices and macroeconomic developments is however bidirectional, with investment showing in general a stronger reaction than consumption and output to housing price shocks. Implications for the real effects of the sub-prime crisis are also explored. (C) 2009 Elsevier B.V. All rights reserved.

引用

页码：533 / 545

页数：13