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The dynamic relationship between house prices and output: evidence from US metropolitan areas

International journal of strategic property management, 2015-10, Vol.19 (4), p.336-345 [Peer Reviewed Journal]

2015 Vilnius Gediminas Technical University (VGTU) Press 2015 ;2015. This work is published under http://creativecommons.org/licenses/by/4.0/ (the “License”). Notwithstanding the ProQuest Terms and Conditions, you may use this content in accordance with the terms of the License. ;ISSN: 1648-715X ;EISSN: 1648-9179 ;DOI: 10.3846/1648715X.2015.1072857

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  • Title:
    The dynamic relationship between house prices and output: evidence from US metropolitan areas
  • Author: Apergis, Nicholas ; Simo-Kengne, Beatrice D ; Gupta, Rangan ; Chang, Tsangyao
  • Subjects: Cointegration analysis ; Economic models ; Economy ; Housing prices ; Metropolitan statistical areas ; Panel causality ; Panel cointegration ; Personal income ; Real house prices ; Real personal income per capita
  • Is Part Of: International journal of strategic property management, 2015-10, Vol.19 (4), p.336-345
  • Description: This paper investigates the long-run and short-term dynamics of 351 US metropolitan statistical area housing prices in relation to personal income. We apply a panel cointegration approach on annual data from 1993 to 2011 and find a long-run relationship between local house prices and per capita personal income. The causal direction is then assessed based on an autoregressive distributed lag specification that also accommodates for error-correction. Results from Granger-causality tests reveal the existence of a bi-directional causality between real house prices and real per capita personal income over both long and short-horizons. Our results continue to be robust, when our bivariate system is extended to include additional MSA-level (employment and population) and national-level variables (real stock price and mortgage interest rate). We conclude that changes in personal income can predict house price movements and vice versa.
  • Publisher: Vilnius: Vilnius Gediminas Technical University
  • Language: English
  • Identifier: ISSN: 1648-715X
    EISSN: 1648-9179
    DOI: 10.3846/1648715X.2015.1072857
  • Source: Directory of Open Access Journals
    CEEOL: Open Access
    ProQuest Central
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