Autori
Morana, Claudio
Bagliano, Fabio Cesare

Titolo
Permanent and Transitory Dynamics in House Prices and Consumption: some implications for the real effects of the financial crisis
Periodico
Università degli Studi del Piemonte Orientale 'A. Avogadro' : Facoltà di Economia - Dipartimento di Scienze Economiche e Metodi Quantitativi "SEMEQ" - Quaderni
Anno: 2009 - Fascicolo: 9 - Pagina iniziale: 1 - Pagina finale: 35

In this paper a small-scale macroeconomic system is estimated in the framework of a common trends model, in order to explore the dynamic interactions between real house prices, consumption expenditure and output in the US and major European economies. The results point to important differences across countries, with long-run house price effects on consumption only for France, Germany and the US. However, interactions between house prices and consumption are detected in all countries at shorter horizons, with important implications of the current unwinding of the sub-prime crisis for real activity. Evidence of international comovements in the common trend component of house price dynamics is also found.




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