Do House Prices Impact Consumption and Interest Rate?: Evidence from OECD Countries Using an Agnostic Identification Procedure
This paper investigates the existence of significant spillovers from the housing sector onto the wider economy for the seven major OECD countries using Uhlig's (2005) agnostic identification procedure. This method allows a housing demand shock to be identified in a six-variable VAR model by imp...
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| Format: | Elektronisch E-Book |
| Sprache: | Englisch |
| Veröffentlicht: |
Paris
OECD Publishing
2012
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| Schriftenreihe: | OECD Economics Department Working Papers
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| Schlagwörter: | |
| Links: | https://doi.org/10.1787/5k9d192klphd-en |
| Zusammenfassung: | This paper investigates the existence of significant spillovers from the housing sector onto the wider economy for the seven major OECD countries using Uhlig's (2005) agnostic identification procedure. This method allows a housing demand shock to be identified in a six-variable VAR model by imposing sign restrictions on the impulse responses of consumer prices, residential investment, real house prices and mortgage loans, while private consumption and nominal interest rate responses are left unrestricted. The results suggest that consumption responds positively and significantly to a house price shock in Canada, France, Japan and the UK. A significant positive delayed response of nominal interest rates follows a house price shock in Germany, Japan, the UK and the US, suggesting that while central banks do not seem to respond instantly and systematically to a housing demand shock, their repercussions on the economy tend to translate into higher policy rates after a few quarters |
| Umfang: | 1 Online-Ressource (41 Seiten) 21 x 29.7cm |
| DOI: | 10.1787/5k9d192klphd-en |
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| indexdate | 2025-01-11T15:45:58Z |
| institution | BVB |
| language | English |
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| publishDate | 2012 |
| publishDateSearch | 2012 |
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| publisher | OECD Publishing |
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| series2 | OECD Economics Department Working Papers |
| spellingShingle | André, Christophe Do House Prices Impact Consumption and Interest Rate? Evidence from OECD Countries Using an Agnostic Identification Procedure Economics |
| title | Do House Prices Impact Consumption and Interest Rate? Evidence from OECD Countries Using an Agnostic Identification Procedure |
| title_alt | Les prix des logements affectent-ils la consommation et le taux d'intérêt ? |
| title_auth | Do House Prices Impact Consumption and Interest Rate? Evidence from OECD Countries Using an Agnostic Identification Procedure |
| title_exact_search | Do House Prices Impact Consumption and Interest Rate? Evidence from OECD Countries Using an Agnostic Identification Procedure |
| title_full | Do House Prices Impact Consumption and Interest Rate? Evidence from OECD Countries Using an Agnostic Identification Procedure Christophe André, Rangan Gupta and Patrick T. Kanda = Les prix des logements affectent-ils la consommation et le taux d'intérêt ? : Une étude empirique sur des pays de l'OCDE utilisant une procédure d'identification agnostique / Christophe André, Rangan Gupta et Patrick T. Kanda |
| title_fullStr | Do House Prices Impact Consumption and Interest Rate? Evidence from OECD Countries Using an Agnostic Identification Procedure Christophe André, Rangan Gupta and Patrick T. Kanda = Les prix des logements affectent-ils la consommation et le taux d'intérêt ? : Une étude empirique sur des pays de l'OCDE utilisant une procédure d'identification agnostique / Christophe André, Rangan Gupta et Patrick T. Kanda |
| title_full_unstemmed | Do House Prices Impact Consumption and Interest Rate? Evidence from OECD Countries Using an Agnostic Identification Procedure Christophe André, Rangan Gupta and Patrick T. Kanda = Les prix des logements affectent-ils la consommation et le taux d'intérêt ? : Une étude empirique sur des pays de l'OCDE utilisant une procédure d'identification agnostique / Christophe André, Rangan Gupta et Patrick T. Kanda |
| title_short | Do House Prices Impact Consumption and Interest Rate? |
| title_sort | do house prices impact consumption and interest rate evidence from oecd countries using an agnostic identification procedure |
| title_sub | Evidence from OECD Countries Using an Agnostic Identification Procedure |
| topic | Economics |
| topic_facet | Economics |
| url | https://doi.org/10.1787/5k9d192klphd-en |
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