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Do House Prices Impact Consumption and Interest Rate? [electronic resource] : 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.

Author/Creator:
André, Christophe, author
Other Title:
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
Publication:
Paris : OECD Publishing, 2012.
Series:
OECD Economics Department Working Papers 18151973 ; no.947.
OECD Economics Department Working Papers 18151973 ; no.947
Format/Description:
Government document
Book
1 online resource (41 pages)
Subjects:
Economics.
Summary:
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.
Notes:
Title from title screen (viewed May 1, 2017).
Contributor:
Gupta, Rangan.
Kanda, Patrick T..
SourceOECD (Online Service)
Access Restriction:
Restricted for use by site license.
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