December 2013 issue contents
A Retrospective Analysis of the House Price Macro-Relationship in the United States

by Ibrahim Ahamadaa and Jose Luis Diaz Sanchezb,c,d


This study provides empirical evidence on the strengthening of the impact of house prices on the U.S. macroeconomy. The stability of the house price 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 sub-samples. The paper finds a robust structural break in the mid-80s. 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-80s.

JEL Codes: C32, E20, E44, R30.

Full article (PDF, 38 pages 929 kb)

a International Monetary Fund 
b Paris School of Economics 
c University of Paris 1 Pantheon-Sorbonne 
d The World Bank