English, Article, Journal or magazine article edition: House Prices and Business Cycles in Europe: a VAR Analysis Matteo Iacoviello

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Bookmark: http://trove.nla.gov.au/version/73165
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • House Prices and Business Cycles in Europe: a VAR Analysis
Author
  • Matteo Iacoviello
Physical Description
  • preprint
Notes
  • A structural vector autoregressive approach identifies the main macroeconomic factors behind fluctuations in house prices in France, Germany, Italy, Spain, Sweden and the UK. Quarterly GDP, house prices, money, inflation and interest rates are characterised by a multivariate process driven by supply, nominal, monetary, inflationary and demand shocks. Tight money leads to a fall in real house prices; house price responses are hump-shaped; the responses of house prices and, to a lesser extent, GDP to a monetary shock can be partly justified by the different housing and financial market institutions across countries; transitory shocks drive a significant part of short-run house price fluctuations.
  • house prices, structural VAR, monetary policy
  • RePEc:boc:bocoec:540
Language
  • English
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