The Linked Movement of House Prices and GDP in the G7 Countries

@article{ART001912888},
author={ 윤재호 and 이주형 },
title={The Linked Movement of House Prices and GDP in the G7 Countries},
journal={국토연구},
issn={1229-8638},
year={2014},
volume={82},
pages={49-60},
doi={10.15793/kspr.2014.82..004},
url={http://dx.doi.org/10.15793/kspr.2014.82..004}

TY - JOUR
AU - 윤재호
AU - 이주형
TI - The Linked Movement of House Prices and GDP in the G7 Countries
T2 - 국토연구
PY - 2014
VL - 82
IS -
PB - 국토연구원
SP - 49-60
SN - 1229-8638
AB - In order to determine exactly when the housing bubble burst and to examine the co-movement of housing price and the real growth of output for individual G7 countries (U.S., U.K., Canada, Germany, France, Italy, and Japan), this study adopted Hamilton’s Markov-switching model (1989). This study found that the housing price for the individual countries showed procyclical movement with the real growth of output during the 1970s, 80s, and 90s and the financial shock in 2008. These findings suggest that the FIML Markov-switching model of Yoon (2006) is very useful for determining the common international business cycle between housing price and the real growth of output in the G7 countries. In addition, extremely large shocks, such as oil shocks, cause procyclical housing price movement with the real growth of output, including the burst housing bubble in 2008.
KW - Housing Bubble Burst, House Price, GDP, FIML, Hamilton’s Markov-Switching Model, Common Business Cycle, G7, U.S., U.K., Canada, Germany, France, Italy, Japan
DO - 10.15793/kspr.2014.82..004
UR - http://dx.doi.org/10.15793/kspr.2014.82..004
ER -

윤재호 and 이주형 (2014). The Linked Movement of House Prices and GDP in the G7 Countries. 국토연구, 82, 49- 60.

윤재호 and 이주형 . 2014, “The Linked Movement of House Prices and GDP in the G7 Countries”, 국토연구, vol. 82, pp. 49-60. Available from: doi:10.15793/kspr.2014.82..004

윤재호 이주형 et al. “The Linked Movement of House Prices and GDP in the G7 Countries” 국토연구 82 pp. 49-60 (2014): 49.

윤재호 , 이주형 . The Linked Movement of House Prices and GDP in the G7 Countries 국토연구 [Internet]. 2014; 82 : 49-60. Available from: doi:10.15793/kspr.2014.82..004

윤재호 and 이주형 . “The Linked Movement of House Prices and GDP in the G7 Countries” 국토연구 82 (2014): 49-60. doi: 10.15793/kspr.2014.82..004

홈 권호 목록 논문 목록 논문 상세

The Linked Movement of House Prices and GDP in the G7 Countries

국토연구

약어 : -

2014, vol.82, pp.49 - 60

DOI : 10.15793/kspr.2014.82..004

발행기관 : 국토연구원

연구분야 : 국제/지역개발

윤재호¹ , 이주형²

¹포스코경영연구소

²한양대학교

인용한 논문 수 : 2 서지 간략 보기

초록

In order to determine exactly when the housing bubble burst and to examine the co-movement of housing price and the real growth of output for individual G7 countries (U.S., U.K., Canada, Germany, France, Italy, and Japan), this study adopted Hamilton’s Markov-switching model (1989). This study found that the housing price for the individual countries showed procyclical movement with the real growth of output during the 1970s, 80s, and 90s and the financial shock in 2008. These findings suggest that the FIML Markov-switching model of Yoon (2006) is very useful for determining the common international business cycle between housing price and the real growth of output in the G7 countries. In addition, extremely large shocks, such as oil shocks, cause procyclical housing price movement with the real growth of output, including the burst housing bubble in 2008.

키워드

Housing Bubble Burst, House Price, GDP, FIML, Hamilton’s Markov-Switching Model, Common Business Cycle, G7, U.S., U.K., Canada, Germany, France, Italy, Japan

참고문헌(13)

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[단행본] Hamilton, J. D. / 1994 / Time Series Analysis / Princeton University Press
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[학술지] Jae Ho Yoon / 2006 / The Co-movement of Inflation and the Real Growth of Output / Korea and the World Economy 7 (2) : 213 ~ 229