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Causality, Real Estate Prices, and the Current Account

Jinjarak, Yothin and Sheffrin, Steven (2011) 'Causality, Real Estate Prices, and the Current Account.' Journal of Macroeconomics, 33 (2). pp. 233-246.

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Abstract

This paper explores the causal relations between real estate prices and the current account using recently developed econometric methods for recursive systems. Using a variety of high quality real estate indices, we find little evidence that current account deficits (capital account surpluses) directly drove real estate prices in the United States, Spain, and Ireland. There is some evidence for this linkage in England; however it is transitory and not persistent. There is also strong evidence that current account surpluses have direct impacts on mortgage rates in the United States, providing an indirect channel for stimulating the real estate market mediated through the financial markets.

Item Type: Journal Articles
SOAS Departments & Centres: Faculty of Law and Social Sciences > School of Finance and Management
Faculty of Law and Social Sciences > School of Finance and Management > Centre for Financial and Management Studies (CeFiMS)
ISSN: 01640704
DOI (Digital Object Identifier): 10.1016/j.jmacro.2010.11.001
Depositing User: Yothin Jinjarak
Date Deposited: 01 Nov 2010 15:54
URI: http://eprints.soas.ac.uk/id/eprint/10639

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