期刊名称：Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN：1830-3420
电子版ISSN：1830-3439
出版年度：2000
出版社：European Central Bank
摘要：This paper uses a structural vector autoregressive (SVAR) approach to identify the main macroeconomic factors behind fluctuations in house prices in six European countries (France, Germany, Italy, Spain, Sweden and UK) over the last twenty-five years. Quarterly time series for GDP, house prices, money, inflation and interest rates are characterised by a multivariate process driven by supply, nominal, monetary, inflation and demand shocks. The results show that: (i) adverse monetary shocks have generally a significant negative impact on real house prices, and the timing of the response in house prices matches that of output; (ii) the magnitude of the response in house prices to a monetary shock can be partly justified by looking at the different housing and financial market institutions in the countries; (iii) monetary and demand shocks play an important role in driving house price fluctuations over the short run. The paper also interprets the major house price cycles and their link with the economic activity in light of the estimated shocks. Overall, the approach suggests that house prices can be embedded in a relatively simple macroeconometric model in a useful way, and that understanding their dynamics can shed some light over several macroeconomic episodes of the last quarter of century in Europe.n
