A Retrospective Analysis of the House Prices Macro-Relationship in the United States

This study provides empirical evidence on the strengthening of the impact of house prices on the U.S. macroeconomy. The stability of the house price macro-link is tested in a small-dimensional vector autoregressive model over the last fifty years. The estimated break points are used to split the sample into different segments, and a multivariate time-series analysis is performed within sub-samples. The paper finds a robust structural break in the mid-80s. In addition, time-series analysis across segments provides evidence that the effect of house prices, not only on private consumption but also on economic activity, has intensified since the mid-80s.