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

Jae-Ho Yoon; Lee,Joo-Hyung

doi:10.15793/kspr.2014.82..004

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The Korea Spatial Planning Review 2022 KCI Impact Factor : 1.06

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pISSN : 1229-8638

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

The Korea Spatial Planning Review
2014, 82(), pp.49-60
DOI : 10.15793/kspr.2014.82..004

Publisher : 국토연구원
Research Area :

Jae-Ho Yoon ¹, Lee,Joo-Hyung ²

¹포스코경영연구소
²한양대학교

ABSTRACT
열림/닫힘 버튼

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.
KEYWORDS
열림/닫힘 버튼

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

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* 2022년 이후 발행 논문의 참고문헌은 현재 구축 중입니다.

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