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

다국어 초록 (Multilingual Abstract)

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.

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