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Title: House price comovements in the Eurozone economies
Authors: Merikas, Andreas G.
Merika, Anna
Laopodis, Nikiforos
Triantafyllou, Anna
Keywords: Housing -- Prices -- European Union countries
Housing -- Prices -- Economic aspects
Eurozone -- Economic conditions
Real property -- European Union countries
Issue Date: 2012
Publisher: University of Piraeus. International Strategic Management Association
Citation: Merikas, A., Merika, A., Laopodis, N., & Triantafyllou, A. (2012). House price comovements in the Eurozone economies. European Research Studies Journal, 15(1), 71-98.
Abstract: The house price boom in major industrialized countries since the early 1990s has been unprecedented. Co-movement is a key feature of it and it has been attributed by scholars to synchronization of monetary policy, financial liberalization, integration of international financial markets, as well as global business cycle linkages. In this paper we focus on seven European countries, all members of the EMU, and ask the question if, the apparent co movement of the housing prices in the seven major euro zone economies implies convergence of their housing markets. Using monthly data from DSI Statistical Bases for 1990(1)-2009(4), we concentrate on the impact of the adoption of the common currency on real house prices movements. We conduct the analysis using country-specific macroeconomic variables and then extend it by adding foreign-specific macro variables to each country’s model. The empirical analysis includes cointegration analysis and VAR specifications. Our findings suggest that the movement of the housing prices of the euro zone countries apart from the well known fundamentals of GDP, interest rates and stock returns is also based on a number of idiosyncratic and structural factors like demographics, the tax system and government intervention which determine the duration and the strength of the housing cycles in each country. Furthermore, it seems that the degree of convergence underlying housing prices co movement is limited given the diversities in living standards, regulation of property markets, government intervention and attitudes to residential housing.
Appears in Collections:European Research Studies Journal, Volume 15, Issue 1

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