Time-varying role of macroeconomic shocks on house prices in the US and UK: evidence from over 150 years of data

In this paper, we study the effect of macroeconomic shocks in the determination of house prices. Focusing on the US and the UK housing market, we employ time-varying vector autoregression models using Bayesian methods covering the periods of 1830–2016 and 1845–2016, respectively. We consider real ho...

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Bibliographic Details
Main Authors: Vasilios Plakandaras, Rangan Gupta, Constantinos Katrakilidis, Mark Wohar
Format: Default Article
Published: 2018
Subjects:
Other commerce, management, tourism and services not elsewhere classified
Other economics not elsewhere classified
Time-varying VAR
House prices
Macroeconomic shocks
Economics
Business and Management not elsewhere classified
Online Access:https://hdl.handle.net/2134/37196
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