Work

House price fluctuations and the business cycle dynamics

Year: 2016

Type: preprint

Abstract: This paper investigates the impact of house price movements on output in a space-time dynamic framework. The transmission of house price fluctuations to the macroeconomy both across space and over time is explicitly considered through spatial econometric modeling techniques. Using 373 metropolitan areas in the US from 2001 to 2013, it is shown that house price fluctuations have detrimental effect on output growth and spillover from one location to another. The loss of output due to house price fluctuations is more pronounced during the recent financial crisis. The time varying recursive estimation of the space-time econometric model shows that the coefficient of spatial correlation has been increasing over time, reflecting an increasing trend in house price synchronization.

Source: RePEc: Research Papers in Economics

Authors: Girum Dagnachew Abate, Luc Anselin

Language: English

Topic: Housing Market and Economics

Subfield: Economics and Econometrics

Field: Economics, Econometrics and Finance

Domain: Social Sciences

SDG: Sustainable cities and communities

Open Access status: green

Funders: Arizona State University, National Research Foundation, Danmarks Grundforskningsfond

Awards: G320081715, Center for Research in Econometric Analysis of Time Series (CREATES)

OpenAlex ID: W2297646747

Cites:

Cited by: 3

Related to: 10