The real estate market and its sensitivity to macroeconomic fundamentals : a United-States and euro area comparison

Details

Supervisors

RYCHALOVSKA, Yuliya

Faculty

Faculté des sciences économiques, sociales, politiques et de communication

Degree label

Master [120] en sciences économiques, orientation générale, à finalité spécialisée

Abstract

An empirical analysis using VAR, SVAR models with Impulse Response Functions interpretations to compare the United-States and Euro Area housing market price index. The goal of this paper is to assess the short run dynamics of the real home price index regarding different macroeconomic fundamentals such as real GDP, unemployment, interest rates, consumer confidence, ... and compare findings between the two continents. In addition, a particular attention is given to the implication of the financial crisis in possible important structural change happening in the house price index's dynamics. To account for any important differences in house price interactions with a particular variable before and after the subprime crisis, a subsample analysis is performed. Results from this paper are quite similar with previous studies and give little evidences for a disconnection in the US home price index from its past interactions since the Great Recession. Moreover, outcomes show some contemporaneous impacts of some macroeconomic variables on the real home price index which suggest prices in housing market not to be as sluggish as classical economists claim...