The dynamic relationship between house prices and output : evidence from US metropolitan areas
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Date
Authors
Apergis, Nicholas
Simo-Kengne, Beatrice Desiree
Gupta, Rangan
Chang, Tsangyao
Journal Title
Journal ISSN
Volume Title
Publisher
Taylor and Francis
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. We conclude that changes in personal income can predict house price
movements and vice versa.
Description
Keywords
Real house prices, Real personal income per capita, Panel cointegration, Panel causality
Sustainable Development Goals
Citation
Nicholas Apergis, Beatrice D. Simo-Kengne, Rangan Gupta & Tsangyao Chang (2015) The dynamic relationship between house prices and output: evidence from US metropolitan areas, International Journal of Strategic Property Management, 19:4, 336-345, DOI:10.3846/1648715X.2015.1072857.