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- Title
Housing market, oil prices, and macroeconomic volatility in the G7.
- Authors
Attílio, Luccas Assis
- Abstract
In this paper, we investigate house price shocks on the macroeconomic variables (financial market, inflation, and real sector) of the G7 economies. We use the GVAR to capture the spillover effects from the U.S. housing market and oil prices on these economies from 1991M3–2022M10. We identify the U.S. house price shock using the Structural Generalized Impulse Response Function, house supply and demand variables, and regional divergence. We find that the domestic stock markets and industrial production are the most sensitive to house price shocks. We further compare the importance of house and oil prices on domestic fluctuations. The estimates reinforce the previous findings: U.S. house prices are responsible for a quarter of the domestic volatility of the stock markets and industrial production. In the other macroeconomic segments, the effects of house prices are present, but in lower values. Our results show that house prices provoke more domestic fluctuations than oil prices. Finally, we also found that short and long‐term credit markets, as well as stock markets, transmit the house price shock to industrial production. Consequently, we provide potential channels to comprehend the spillover effect of U.S. house prices on international markets.
- Subjects
HOME prices; HOUSING market; VOLATILITY (Securities); PETROLEUM sales &; prices; GROUP of Seven countries; IMPULSE response; FINANCIAL markets
- Publication
Manchester School (1463-6786), 2024, Vol 92, Issue 4, p397
- ISSN
1463-6786
- Publication type
Article
- DOI
10.1111/manc.12474