Cyclical Relationships Between GDP and Housing Market in France: Facts and Factors at Play

Ferrara, Laurent; Vigna, Olivier

doi:10.1007/978-3-642-15340-2_3

Cited by 9 publications

(12 citation statements)

References 19 publications

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“…Besides this, there exists a couple of other studies that have looked into the effect of real house prices on per capita economic growth at the provincial-level in South Africa using 1 See for instance, Leamer (2007), Fisher (2007), (Silos, 2007), Goodhart and Hofmann (2008), , Álvarez et al, (2010), Bulligan (2010), Bandt et al, (2010), Ferrara and Koopman (2010), , Ferrara and Vigna (2010), Ghent and Owyang (2010), Iacoviello (2010), Iacoviello and Neri (2010), Iacoviello and Pavan (forthcoming), Kiyotaki et al, (2011), Cinquegrana (2012, Kydland et al, (2012),. Note, however, there also exists a few studies, such as: Benhabib et al (1991), Greenwood and Hercowitz (1991), McGrattan, et al, (1997), Gomme et al (2001), Davis and Heathcote (2005), Iacoviello (2002Iacoviello ( , 2005 which had also emphasized the role of housing on business cycle way before the recent financial crisis.…”

Section: Introductionmentioning

confidence: 99%

Housing and the business cycle in South Africa

Aye

Balcılar

Bosch

et al. 2014

Journal of Policy Modeling

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This paper examines the housing-output growth nexus in South Africa by accounting for the time variation in the causal link with a bootstrapped rolling Granger non-causality test. We use quarterly data on real gross domestic product, real house prices, real gross fixed capital formation and number of building plans passed. Our data span 1971Q2-2012Q2. Using full sample bootstrap Granger causality tests, we find a uni-directional causality from output to number of building plans passed; a uni-directional causality from real house price to output and a bi-directional causal link between residential investment and output. However, using parameter stability tests, we show that estimated VARs are unstable, thus full-sample Granger causality inference may be invalid. Hence, we use a bootstrap rolling window estimation to evaluate Granger causality between the housing variables and the growth rate.In general, we find that the causality from housing to output and, vice versa, differ across different sample periods due to structural changes. Specifically speaking, house price is found to have the strongest causal relationship with output compared to residential investment and number of building plans passed, with real house price showing predictive ability in all but one downward phase of the business cycle during this period.

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Section: Introductionmentioning

confidence: 99%

Housing and the business cycle in South Africa

Aye

Balcılar

Bosch

et al. 2014

Journal of Policy Modeling

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“…3 Different factors drive this behavior. Calza et al (2009) and Ferrara and Vigna (2009) suggest that countries such as Spain, where sophisticated financial instruments for housing financing have been increasing, have financial institutions that are more willing to increase the amount of initial housing loans, because the market value of the guarantee also appreciates. Moreover, the fewer restrictions on housing financing and the further competition among financial institutions shown by the Spanish economy have contributed to raising the housing loans (Martínez and Maza 2003;IMF 2008;Rubio and Carrasco-Gallego 2017).…”

Section: Model 1: Complete Samplementioning

confidence: 99%

“…Furthermore, and more important from the point of view of our results, is that the housing prices react contemporaneously with the business cycle, because Spain shows a higher level of adjustable interest rates than other European countries. 6 Ferrara and Vigna (2009) point out that a larger share of new housing loans with an adjustable rate implies a quicker collapse of the housing prices. Variable interest rates strengthen the financial accelerator consequences, making Spanish households more sensitive to credit crunch episodes.…”

Section: Model 1: Complete Samplementioning

confidence: 99%

“…The linkages between housing markets and business cycles are assessed, among others, by the following studies: Catte et al (2004); Ceron and Suarez (2006); Leamer (2008Leamer ( , 2009Leamer ( , 2015Álvarez et al (2009); Ferrara and Vigna (2009); Dufrénot and Malik (2010); Igan et al (2011); and Hirata et al (2012); Kydland et al (2016); Vogiazas and Alexiou (2017); and Mian et al (2017). The cyclical properties of Spanish real and nominal housing-related variables are analyzed by Álvarez and Cabrero (2010).…”

Section: Introductionmentioning

confidence: 99%

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How do Housing Prices and Business Cycles Interact in Spain? An Empirical Analysis

Ríos¹,

Perdiguer²,

Solé³

2019

SAE

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El trabajo analiza la relación entre los ciclos económicos y los ciclos del precio de la vivienda en España durante el período 1971-1Q/2016-1Q. La pregunta que queremos abordar es: ¿las características de los ciclos económicos españoles y los ciclos del precio de la vivienda les confieren una naturaleza sincronizada? El estudio avanza a través de tres análisis. Primero, se identifican los puntos de inflexión de ambos ciclos. Segundo, calculamos el nivel de sincronización y la causalidad. Finalmente, exponemos los hechos económicos que determinan la relación encontrada en los puntos anteriores. En general, los ciclos económicos son más largos que los ciclos del precio de la vivienda, siendo más evidente en la expansión que en la contracción. Además, los ciclos del precio de la vivienda son más sensibles a los shocks que el ciclo económico.

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“… 2. Álvarez et al (2010) for the Euro area, Ferrara and Vigna (2010) for France, and Álvarez and Cabrero (2010) for Spain provide empirical evidence on the leading nature of housing markets and house prices with respect to the business cycles. …”

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confidence: 99%

Persistence and cyclical dynamics of US and UK house prices: Evidence from over 150 years of data

et al. 2019

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This paper provides a new and unique look at the dynamics and persistence of historical house prices in the USA and the UK using fractional integration techniques not previously applied to housing markets. Unlike previous research, we consider two components of persistence of house prices: the component associated with the long-run trend and the component associated with the cycle. We find evidence of cyclical and long-run persistence in the UK housing markets. In contrast, we fail to find evidence of cyclical persistence for the USA. For the sub-samples, which account for a structural break in each series, an important difference is the asynchronous pattern of the breaks, an indication of heterogeneity in the house price dynamics of the two countries and a sign that national rather than global events have played an important role. Although the house price movements of the last decade are dramatic, the greatest structural changes in the overall nominal and real price dynamics of the UK and the USA appear to have taken place much earlier, in the late 1970s and early 1980s in the UK and in the mid-1950s and early 1970s in the USA. An important result, common to the whole and sub-samples, is that long-run persistence plays a greater role than cyclical persistence in explaining the dynamics of house prices in both countries. These findings have substantial implications for policy decisions.

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Cyclical Relationships Between GDP and Housing Market in France: Facts and Factors at Play

Abstract: Dufrénot and B. Pluyaud for helpful comments as well as the participants to the conference on Macroeconomics of Housing Markets organized by Banque de France, November 2009. The views expressed herein are those of the authors and do not necessarily reflect those of the Banque de France.

Cited by 9 publications

References 19 publications

Housing and the business cycle in South Africa

Housing and the business cycle in South Africa

How do Housing Prices and Business Cycles Interact in Spain? An Empirical Analysis

Persistence and cyclical dynamics of US and UK house prices: Evidence from over 150 years of data

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