Empirical Research: Assessing Macroeconomic Drivers of House Prices. A comparison Across Europe

Treballs Finals del Grau d'Economia, Facultat d'Economia i Empresa, Universitat de Barcelona, Curs: 2017-2018 , Tutor: Vahagn Jerbashian(eng) In this empiric research I analyze the relationship between house prices and the following macroeconomic indicators: real GDP per capita, real long-term interest rates and unemployment rate. The analysis is applied to 5 different countries that represent the 4 economic models within Europe: Spain and Italy as a Mediterranean economies, Norway as a representative of the Nordic model, Germany represents the continental model and the United Kingdom that represents the Anglo-Saxon economy. The research focuses to find long run relationship between variables using a VECM methodology. The VECM can only be applied to Spain and Italy since they are the only cases where cointegration relationships can be found. For the rest of the countries only short run can be studied. The resulting explanatory power differs according to the country selected. While the model captures well the Mediterranean countries and the UK (R2 > 50%) it doesn’t fit as well for the Nordic and Continental economies (R2 50%), no es capaç de reproduir aquest poder predictiu per als models nòrdic i continental (R2 < 50%). Tot i que els signes dels coeficients mostren ser iguals per a tots els països, aquests canvien en quant s’introdueixen dinàmiques en el mode