Macro-factors influencing CPI-adjusted house prices across 18 advanced economies, 1870-2020

Abstract

This paper aims to contribute to the existing literature on the relationship between macroeconomic factors and house prices relative to CPI for a period of 151 years and 18 advanced economies, by using a comprehensive approach that includes various model specifications, such as fixed effects, time trends, and lagged variables. Moreover, the paper uses a PVAR methodology to examine causal relationships among the variables, providing further insights into the dynamics of the housing market. By using this approach, we seek to examine the correlation between macro-factors and house prices as well as the direction of causality.