A Retrospective Analysis of the House Prices Macro-Relationship in the United States

• Tác giả: Ibrahim Ahamada
• Ngôn ngữ: eng
• Ký hiệu phân loại: 307.33 *Patterns of use
• Thông tin xuất bản: World Bank, Washington, DC, 2013
• Bộ sưu tập: Tài liệu truy cập mở
• ID: 301571
• Chủ đề: 1. ACCOUNTING; 2. ASSET PRICE; 3. BORROWING; 4. BORROWING CONSTRAINTS; 5. CENTRAL BANK

Tóm tắt

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.