Do House Prices Impact Consumption and Interest Rate? Evidence from OECD Countries using an Agnostic Identification Procedure
Bibliographic record
Abstract
This paper investigates the existence of significant spillovers from the housing sector onto the wider economy for the seven major OECD countries using Uhlig's (2005) agnostic identification procedure. This method allows a housing demand shock to be identified in a six-variable VAR model by imposing sign restrictions on the impulse responses of consumer prices, residential investment, real house prices and mortgage loans, while private consumption and nominal interest rate responses are left unrestricted. The results suggest that consumption responds positively and significantly to a house price shock in Canada, France, Japan and the UK. A significant positive delayed response of nominal interest rates follows a house price shock in Germany, Japan, the UK and the US, suggesting that while central banks do not seem to respond instantly and systematically to a housing demand shock, their repercussions on the economy tend to translate into higher policy rates after a few quarters. Les prix des logements affectent-ils la consommation et le taux d'interet ? : Une etude empirique sur des pays de l'OCDE utilisant une procedure d'identification agnostique Cet article etudie l'existence d’une inflence significative du secteur du logement sur l'economie dans son ensemble pour les sept grands pays de l’OCDE, en utilisant la procedure d'identification agnostique d’Uhlig (2005). Cette methode permet l'identification d'un choc de demande de logement dans un modele VAR a six variables en imposant des restrictions sur les signes des fonctions de reaction aux innovations des prix a la consommation, de l'investissement residentiel, des prix reels des logements et des prets hypothecaires, tandis que les reponses de la consommation privee et des taux d'interet nominaux sont laissees libres. Les resultats suggerent que la consommation reagit positivement et significativement a un choc de prix des logements au Canada, en France, au Japon et au Royaume-Uni. D'autre part, une reponse positive, significative et retardee des taux d'interet nominaux suit un choc de prix des logements en Allemagne, au Japon, au Royaume-Uni et aux Etats-Unis, suggerant que si les banques centrales ne semblent pas reagir instantanement et systematiquement a un choc de demande de logement, les repercussions de ce dernier sur l'economie ont tendance a se traduire par des taux directeurs plus eleves apres quelques trimestres.
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How this classification was reachedexpand
Full frame machine prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. The Gemma side is a direct model label for every work in the frame, read from the title-only record. The Codex side is a classifier learned from the 10,348 direct Codex labels and calibrated to design-weighted sample rates; fields without enough sample support carry no Codex call. Candidate is the union of the two sides; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels.
Distilled classifier scores by category (both heads)
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.002 | 0.006 |
| Meta-epidemiology (narrow) | 0.000 | 0.000 |
| Meta-epidemiology (broad) | 0.000 | 0.001 |
| Bibliometrics | 0.001 | 0.002 |
| Science and technology studies | 0.000 | 0.001 |
| Scholarly communication | 0.001 | 0.001 |
| Open science | 0.000 | 0.001 |
| Research integrity | 0.000 | 0.000 |
| Insufficient payload (model declined to judge) | 0.002 | 0.000 |
Machine scores (provisional)
The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.
Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from itClassification
machine, unvalidatedMachine predicted; a candidate call from one source (direct Gemma or distilled Codex), not a consensus.
How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".