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- W2210339910 abstract "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." @default.
- W2210339910 created "2016-06-24" @default.
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- W2210339910 date "2015-12-23" @default.
- W2210339910 modified "2023-09-29" @default.
- W2210339910 title "THE DYNAMIC RELATIONSHIP BETWEEN HOUSE PRICES AND OUTPUT: EVIDENCE FROM US METROPOLITAN AREAS" @default.
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- W2210339910 doi "https://doi.org/10.3846/1648715x.2015.1072857" @default.
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