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A retrospective analysis of the house prices macro-relationship in the United States
 
Author:Ahamada, Ibrahim; Diaz Sanchez, Jose Luis; Collection Title:Policy Research working paper ; no. WPS 6549
Country:United States; Date Stored:2013/07/29
Document Date:2013/07/01Document Type:Policy Research Working Paper
SubTopics:Markets and Market Access; Economic Theory & Research; Emerging Markets; Housing Finance; Financial IntermediationLanguage:English
Region:Rest Of The WorldReport Number:WPS6549
Volume No:1 of 1  

Summary: 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.

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