Real estate markets and the macroeconomy: A dynamic coherence framework

Bouchouicha, Ranoua; Ftiti, Zied

doi:10.1016/j.econmod.2012.05.034

Cited by 63 publications

(34 citation statements)

References 33 publications

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“…They argue that house prices are more sensitive to longterm interest rates. Moreover, Adams and Füss (2010) report that short term interest rates adversely affect demand for houses because of the effect on mortgage rates and the cost of financing for construction firms (see also Nneji et al, 2013;Bouchouicha and Ftiti, 2012;McQuinn and O'Reilly, 2008). Furthermore, the study by Brunnermeier and Julliard (2008) confirms that inflation influences the price-rent ratio for houses.…”

Section: Introductionmentioning

confidence: 93%

Dynamic interdependencies among the housing market, stock market, policy uncertainty and the macroeconomy in the United Kingdom

Antonakakis

Floros

2016

International Review of Financial Analysis

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Section: Introductionmentioning

confidence: 93%

Dynamic interdependencies among the housing market, stock market, policy uncertainty and the macroeconomy in the United Kingdom

Antonakakis

Floros

2016

International Review of Financial Analysis

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“…Due to land limitations in the U.K., the housing supply is smaller than that of the vast U.S. housing market, assuring higher prices and smaller price fluctuations. Higher prices drive U.K. households to invest earlier and for more years in a residence than a corresponding U.S. household (Bouchouicha and Ftiti, 2012). This wealth effect can be observed in the large U.K. cities.…”

Section: Impulse Response Analysismentioning

confidence: 99%

Time-varying role of macroeconomic shocks on house prices in the US and UK: evidence from over 150 years of data

et al. 2018

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In this paper, we study the effect of macroeconomic shocks in the determination of house prices. Focusing on the U.S. and the U.K. housing market, we employ timevarying Vector Autoregression models using Bayesian methods covering the periods of 1830-2016 and 1845-2016 respectively. We consider real house prices, output growth, short-term interest rates and inflation as input variables in order to unveil the effect of macroeconomic shocks on house prices. From the examination of the impulse responses of house prices on macroeconomic shocks, we find that technology shocks dominate in the U.S. real estate market, while their effect is unimportant in the U.K. In contrast, monetary policy drives most of the evolution of the U.K. house prices, while transitory house supply shocks are unimportant in either country. These findings are further corroborated with the analysis of conditional volatilities and correlations to macroeconomic shocks. Overall, we are able to unveil the dynamic linkages in the relationship of the macro economy and house prices. Over time, we analyze the variations in economic events happening at the imposition of the shock and uncover characteristics missed in the time-invariant approaches of previous studies.

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“…Bouchouicha and Ftiti (2012), for example, argued that in the UK wealth effects can be a significant transmission channel during market downturns. Other possible influences emanating from the 2007 crisis can also be identified.…”

Section: The Financial Crisis and The Uk Housing Marketmentioning

confidence: 97%

The 2007 financial crisis and the UK residential housing market: Did the relationship between interest rates and house prices change?

2014

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This paper investigates the impact of the 2007 financial crisis on the relationship between real mortgage interest rates and real house prices. It applies a dynamic conditional correlation based methodology that uses fractionally differenced data along with controls for structural breaks and non-interest-rate related factors that influence house prices. The key finding made is that the financial crisis had a long-term structural impact on the monetary transmission relationship. For example, we find that the mean conditional correlation between house prices in England and Wales and the three-year fixed mortgage rate rose by 6.6 percentage points. Similarly, the mean correlation between prices and the standard variable mortgage rate increased 6.4 percentage points to 54%. These findings suggest to us that interest-rate-based monetary policy still has an important role to play in the housing market.

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Real estate markets and the macroeconomy: A dynamic coherence framework

Cited by 63 publications

References 33 publications

Dynamic interdependencies among the housing market, stock market, policy uncertainty and the macroeconomy in the United Kingdom

Dynamic interdependencies among the housing market, stock market, policy uncertainty and the macroeconomy in the United Kingdom

Time-varying role of macroeconomic shocks on house prices in the US and UK: evidence from over 150 years of data

The 2007 financial crisis and the UK residential housing market: Did the relationship between interest rates and house prices change?

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