Summary of empirical studies on house prices, macroeconomic fundamentals, and asymmetries
| Authors (Year) | Region/Sample | Period | Methodology | Key variables | Main findings (relevant to our study) |
|---|---|---|---|---|---|
| Arvanitidis (2014) | Book– REM | – | Theoretical/conceptual contribution | Real estate market, urban economy | RE market acts as an institutional intermediary, “materializing” urban econ. Potential by organizing the supply/adaptation of the built environment |
| Dou et al. (2025) | 27 EU ctrs. (banking firms) | 2018–2021 | Panel data econometrics | RI, P/B, financed emissions, ESG controversy score | Climate/ESG risks affect bank valuation beyond macro fundamentals: fewer ESG controversies are associated with higher valuations, while higher financed emissions are associated with lower valuations (RI, P/B), with implications for the cost of capital and funding conditions |
| Case and Shiller (1990) | U.S.A. (cities) | 1970–1986 | Repeat-sales (micro) + TSCS panel regressions | RHP & ERH, cons. Cost, adult popul. GDPpc | GDP growth raises housing demand/prices; price changes and excess returns show momentum tied to fundamentals (demographics, cost-to-price), implying imperfect efficiency |
| Iacoviello (2002) | FR, IT, SP, SW, UK, GER | 1973–1998 | SVAR/Cointegrated VAR | GDP, HP, mon. sup., infl., inter.rates | Higher GDP boosts demand and house prices, as supply adjusts slowly |
| Égert and Mihaljek (2007) | CE EU & 19 OECD ctrs | 1995–2006 | Panel Dynamic OLS | HP, GDPpc, int. rates, mortg. credit, demografic | Strong associations between house prices and GDP per capita |
| Hardouvelis (2009) | Greece | 2007–2009 | Theoretical framework | GDP, income, housing supply | In expansions, higher GDP/income raises demand and prices; with slow supply adjustment, increases can be rapid/steep |
| Melecky and Paksi (2024) | 15 EU ctrs | 2000–2020 | Panel FE regression | GDP, wages, unempl., popul., house prices | A consistently positive effect of GDP on prices; a positive effect also for the household credit-to-GDP ratio |
| Pontiggia and Sivitanides (2020) | Cyprus | 2006–2015 | 3-eq recursive system + partial adjustment | HPI, MR loans, GDP, popul., empl., int. rate, constr. cost | GDP has a significant impact on house prices; substantial asymmetry is identified in their relationship |
| Case et al. (2011) | USA | 1978–2009 | Panel (quarterly data) | Wealth ef., net worth, consump | Increases in house prices generate a wealth effect and strengthen consumption |
| Mian and Sufi (2014) | USA | 2000–2012 | Panel regressions (ZIP-code level) | HP, mortgage debt, income | Sharp declines in house prices can trigger broader economic distress in aggregate economic activity |
| Nguyen et al. (2019) | Vietnam | 2005–2018 | VAR (Vector Autoregressions) | GDP, growth rate of the REM | Housing market downturns are linked to financial crises and require time to stabilize and reconnect with GDP growth |
| Demary (2010) | 10 OECD ctrs | 1970–2005 | VAR (Vector Autoregression) | RHPI, RGDP, GDP defl., sh-term int. rate | The cyclical component of real house prices is more volatile (higher standard deviation) than GDP and the price level |
| Adams and Füss (2010) | 15 OECD ctrs | 1975–2007 | Panel cointegration | RHP, econ. activity, con. cost, inter. rate | Positive GDP–house price relationship, with slow adjustment and evidence of downward rigidity: in recessions, prices decline slowly |
| Anthony (2023) | USA | 2000–2015 | Multiple regression (OLS) | GDPpc, % cost-burdened, unempl. rate, popul. density | Affordability declines are linked to slower GDPpc growth via reduced labor inflows and weaker activity |
| Barot and Takala (1998) | Finland–Sweden | 1970–1997 | Error-Correction Model (ECM) | HPI, CPI, consumption, int. rates, wages, unemployment | House prices and inflation co-move; price-level pass-through to housing is rapid; feedback is weak |
| Anari and Kolari (2002) | USA | 1968–2000 | ARDL model | PEH, Price of New Homes (PNH), Nonhousing CPI | US house prices are long-run linked to the general price level, indicating housing acts as an inflation hedge |
| Inglesi-Lotz and Gupta (2013) | South Africa | 1970–2011 | ARDL model | House prices; CPI excluding housing costs | House prices co-move in the long-run with inflation, confirming the role of housing as an inflation hedge |
| Tsatsaronis and Zhu (2004) | 17 ind. econ | 1970–2003 | SVAR (by country) | HP, GDP, CPI, short-term rate, bank credit growth | Supply rigidities limit adjustment to demand, while inflation emerges as a key long-run determinant of house prices |
| Crnadak et al. (2025) | V4 | 2008–2023 | Pearson corr. + country OLS | RPP, CPI | For V4 countries, inflation is positively associated with, and statistically significantly affects, house prices in each country |
| Agnello and Schuknecht (2011) | 18 industrial ctrs | 1980–2007 | Random-effects panel Probit | RHPI, HP gap, GDPpc, short-term rate, credit, M3, population growth | Inflation exerts gradual but persistent pressures on housing markets |
| Kuang and Liu (2015) | China (35 cities) | 1996–2010 | Dynamic panel models | HPI, CPI, GDP, hh income, int. rate, mon. supply, RPI, hh sav., SPI | Inflation is a key driver of house prices, with interest rates, supply constraints, and speculation acting complementarily. Bidirectional link: rising house prices may reinforce inflation |
| Panagiotidis and Printzis (2016) | Greece | 1997–2013 | VECM | HPI, CPI, IPI, retail trade, loan int. rate, mortg. growth, M1, unemployment | Inflation affects house prices in the short run; housing credit is the main lever both short- and long-run |
| Copaciu and Horobet (2022) | Romania | 2002–2021 | Threshold Bayesian VAR (TBVAR) | GDP, Real credit (non-gov.), Inflation, inter. Rate, leu/euro, ESI, CLIFS | Interest rates should be used to stabilize output during recessions and to stabilize inflation in normal times |
| Hossain and Latif (2009) | Canada | 1980–2006 | ARMA–GARCH, VAR/Granger | HP changes, GDP, CPI, mortg. rate, population | Inflation can increase volatility, especially when it leads to tighter monetary policy |
| Iacoviello and Neri (2010) | USA | 1965–2006 | Bayesian DSGE | RHPI, consumption, bus. inv., housing investment | Rising house prices increase housing wealth and collateral value, boosting consumption and (directly/indirectly) housing investment |
| Dieckelmann et al. (2023) | Euro area | 2010–2021 | Panel model | HPI; RPI; mortgage interest rates | Nonlinear response of real prices to real interest rates: at very low levels, even small increases exert disproportionately strong downward pressure |
| Aastveit and Anundsen (2022) | U.S. (263 MSAs) | 1981–2007 | Panel local projections | Monetary policy shocks; HP/MSA; housing supply elasticity/MSA | Interest-rate effects are asymmetric and spatially heterogeneous; supply adjustment differs, bank competition affects pass-through, and downward rigidity varies in intensity/timing across areas |
| Apergis and Rezitis (2003) | Greece | 1981–1999 | ECVAR/VECM | HPI, mortg. int. rate, CPI, empl. rate, M1 | Mortgage interest rates are the strongest determinant of house prices; negative association with prices |
| Gkiosis and Chapsa (2025) | Greece, Portugal | 1997–2023 | ARDL model | RHPI, CPI, empl. rate, GDPpc, mortg. int. rate | Greece: inflation and rates are negative in the long-run. Portugal: rates are consistently negative in the short/long-run (transmission differences) |
| Horobet et al. (2025) | Non-euro EU (CZ, HU, PL, RO) | 2010–2021 | Bayesian VAR (+ panel evidence) | Ind. Prod., inflation, REER, unemployment, inter. Rate, Euribor, ECB total assets, VSTOXX index | According to their results, the interest-rate channel is a key external transmission mechanism. Changes in the ECB's rates can pass through to domestic interest rates in financially linked economies or those with euro-denominated liabilities, thereby shaping capital flows, borrowing conditions, and investment decisions |
| Glaeser et al. (2012) | USA | 1980–2008 | Valuation model + time-series regres | RHP, int. Rates, CPI-U, mortg. Approv., LTV | Looser credit standards and increased mortgage approvals boosted demand and fueled pre-crisis house price growth |
| Iqbal et al. (2023) | 20 OECD ctrs | 1970–2019 | Asymmetric–Nonlinear ARDL | RHP unemployment rate | Affordability depends mainly on the elasticity/adequacy of supply and on access conditions to mortgage credit |
| Egan and McQuinn (2023) | 16 euro ctrs | 2000–2021 | Panel fixed effects | MR. int. rate, Euribor, bank concentration. indicators | Lower bank concentration strengthens pass-through from policy rates to mortgage rates and, by extension, monetary-policy effectiveness |
| Zhou (2010) | USA (10 cities) | 1978–2007 | Augmented Engle–Granger, Johansen | HP, income, constr. Cost, MR inter. rates | US house prices–fundamentals may be nonlinear; proposes EG/Johansen testing with ACE transforms and re-testing |
| Katrakilidis and Trachanas (2012) | Greece | 1999–2011 | Asymmetric–Nonlinear ARDL (NARDL) | HPI, CPI, IPI | Asymmetric HP–inflation relationship: long-run asymmetries and stronger short-run response to CPI increases (vs decreases), cycle-dependent intensity |
| Alqaralleh (2019) | UK | 1998–2017 | STAR | HPI, HA, unempl. rate, mortg. rate, inflation rate | Strong regional heterogeneity and asymmetries; affordability is a key mechanism behind nonlinear dynamics in high-volatility periods |
| Akpolat (2024) | Turkey | 2010–2021 | Asymmetric–Nonlinear ARDL (NARDL) | RHPI, exch. Rate, MR.rates, M2, CCI, HS | Significant long-run asymmetries; nonlinear/flexible models are required to capture housing-market dynamics accurately |
| Authors (Year) | Region/Sample | Period | Methodology | Key variables | Main findings (relevant to our study) |
|---|---|---|---|---|---|
| Book– REM | – | Theoretical/conceptual contribution | Real estate market, urban economy | RE market acts as an institutional intermediary, “materializing” urban econ. Potential by organizing the supply/adaptation of the built environment | |
| 27 EU ctrs. (banking firms) | 2018–2021 | Panel data econometrics | RI, P/B, financed emissions, ESG controversy score | Climate/ESG risks affect bank valuation beyond macro fundamentals: fewer ESG controversies are associated with higher valuations, while higher financed emissions are associated with lower valuations (RI, P/B), with implications for the cost of capital and funding conditions | |
| U.S.A. (cities) | 1970–1986 | Repeat-sales (micro) + TSCS panel regressions | RHP & ERH, cons. Cost, adult popul. GDPpc | GDP growth raises housing demand/prices; price changes and excess returns show momentum tied to fundamentals (demographics, cost-to-price), implying imperfect efficiency | |
| FR, IT, SP, SW, UK, GER | 1973–1998 | SVAR/Cointegrated VAR | GDP, HP, mon. sup., infl., inter.rates | Higher GDP boosts demand and house prices, as supply adjusts slowly | |
| CE EU & 19 OECD ctrs | 1995–2006 | Panel Dynamic OLS | HP, GDPpc, int. rates, mortg. credit, demografic | Strong associations between house prices and GDP per capita | |
| Greece | 2007–2009 | Theoretical framework | GDP, income, housing supply | In expansions, higher GDP/income raises demand and prices; with slow supply adjustment, increases can be rapid/steep | |
| 15 EU ctrs | 2000–2020 | Panel FE regression | GDP, wages, unempl., popul., house prices | A consistently positive effect of GDP on prices; a positive effect also for the household credit-to-GDP ratio | |
| Cyprus | 2006–2015 | 3-eq recursive system + partial adjustment | HPI, MR loans, GDP, popul., empl., int. rate, constr. cost | GDP has a significant impact on house prices; substantial asymmetry is identified in their relationship | |
| USA | 1978–2009 | Panel (quarterly data) | Wealth ef., net worth, consump | Increases in house prices generate a wealth effect and strengthen consumption | |
| USA | 2000–2012 | Panel regressions (ZIP-code level) | HP, mortgage debt, income | Sharp declines in house prices can trigger broader economic distress in aggregate economic activity | |
| Vietnam | 2005–2018 | VAR (Vector Autoregressions) | GDP, growth rate of the REM | Housing market downturns are linked to financial crises and require time to stabilize and reconnect with GDP growth | |
| 10 OECD ctrs | 1970–2005 | VAR (Vector Autoregression) | RHPI, RGDP, GDP defl., sh-term int. rate | The cyclical component of real house prices is more volatile (higher standard deviation) than GDP and the price level | |
| 15 OECD ctrs | 1975–2007 | Panel cointegration | RHP, econ. activity, con. cost, inter. rate | Positive GDP–house price relationship, with slow adjustment and evidence of downward rigidity: in recessions, prices decline slowly | |
| USA | 2000–2015 | Multiple regression (OLS) | GDPpc, % cost-burdened, unempl. rate, popul. density | Affordability declines are linked to slower GDPpc growth via reduced labor inflows and weaker activity | |
| Finland–Sweden | 1970–1997 | Error-Correction Model (ECM) | HPI, CPI, consumption, int. rates, wages, unemployment | House prices and inflation co-move; price-level pass-through to housing is rapid; feedback is weak | |
| USA | 1968–2000 | ARDL model | PEH, Price of New Homes (PNH), Nonhousing CPI | US house prices are long-run linked to the general price level, indicating housing acts as an inflation hedge | |
| South Africa | 1970–2011 | ARDL model | House prices; CPI excluding housing costs | House prices co-move in the long-run with inflation, confirming the role of housing as an inflation hedge | |
| 17 ind. econ | 1970–2003 | SVAR (by country) | HP, GDP, CPI, short-term rate, bank credit growth | Supply rigidities limit adjustment to demand, while inflation emerges as a key long-run determinant of house prices | |
| V4 | 2008–2023 | Pearson corr. + country OLS | RPP, CPI | For V4 countries, inflation is positively associated with, and statistically significantly affects, house prices in each country | |
| 18 industrial ctrs | 1980–2007 | Random-effects panel Probit | RHPI, HP gap, GDPpc, short-term rate, credit, M3, population growth | Inflation exerts gradual but persistent pressures on housing markets | |
| China (35 cities) | 1996–2010 | Dynamic panel models | HPI, CPI, GDP, hh income, int. rate, mon. supply, RPI, hh sav., SPI | Inflation is a key driver of house prices, with interest rates, supply constraints, and speculation acting complementarily. Bidirectional link: rising house prices may reinforce inflation | |
| Greece | 1997–2013 | VECM | HPI, CPI, IPI, retail trade, loan int. rate, mortg. growth, M1, unemployment | Inflation affects house prices in the short run; housing credit is the main lever both short- and long-run | |
| Romania | 2002–2021 | Threshold Bayesian VAR (TBVAR) | GDP, Real credit (non-gov.), Inflation, inter. Rate, leu/euro, ESI, CLIFS | Interest rates should be used to stabilize output during recessions and to stabilize inflation in normal times | |
| Canada | 1980–2006 | ARMA–GARCH, VAR/Granger | HP changes, GDP, CPI, mortg. rate, population | Inflation can increase volatility, especially when it leads to tighter monetary policy | |
| USA | 1965–2006 | Bayesian DSGE | RHPI, consumption, bus. inv., housing investment | Rising house prices increase housing wealth and collateral value, boosting consumption and (directly/indirectly) housing investment | |
| Euro area | 2010–2021 | Panel model | HPI; RPI; mortgage interest rates | Nonlinear response of real prices to real interest rates: at very low levels, even small increases exert disproportionately strong downward pressure | |
| U.S. (263 MSAs) | 1981–2007 | Panel local projections | Monetary policy shocks; HP/MSA; housing supply elasticity/MSA | Interest-rate effects are asymmetric and spatially heterogeneous; supply adjustment differs, bank competition affects pass-through, and downward rigidity varies in intensity/timing across areas | |
| Greece | 1981–1999 | ECVAR/VECM | HPI, mortg. int. rate, CPI, empl. rate, M1 | Mortgage interest rates are the strongest determinant of house prices; negative association with prices | |
| Greece, Portugal | 1997–2023 | ARDL model | RHPI, CPI, empl. rate, GDPpc, mortg. int. rate | Greece: inflation and rates are negative in the long-run. Portugal: rates are consistently negative in the short/long-run (transmission differences) | |
| Non-euro EU (CZ, HU, PL, RO) | 2010–2021 | Bayesian VAR (+ panel evidence) | Ind. Prod., inflation, REER, unemployment, inter. Rate, Euribor, ECB total assets, VSTOXX index | According to their results, the interest-rate channel is a key external transmission mechanism. Changes in the ECB's rates can pass through to domestic interest rates in financially linked economies or those with euro-denominated liabilities, thereby shaping capital flows, borrowing conditions, and investment decisions | |
| USA | 1980–2008 | Valuation model + time-series regres | RHP, int. Rates, CPI-U, mortg. Approv., LTV | Looser credit standards and increased mortgage approvals boosted demand and fueled pre-crisis house price growth | |
| 20 OECD ctrs | 1970–2019 | Asymmetric–Nonlinear ARDL | RHP unemployment rate | Affordability depends mainly on the elasticity/adequacy of supply and on access conditions to mortgage credit | |
| 16 euro ctrs | 2000–2021 | Panel fixed effects | MR. int. rate, Euribor, bank concentration. indicators | Lower bank concentration strengthens pass-through from policy rates to mortgage rates and, by extension, monetary-policy effectiveness | |
| USA (10 cities) | 1978–2007 | Augmented Engle–Granger, Johansen | HP, income, constr. Cost, MR inter. rates | US house prices–fundamentals may be nonlinear; proposes EG/Johansen testing with ACE transforms and re-testing | |
| Greece | 1999–2011 | Asymmetric–Nonlinear ARDL (NARDL) | HPI, CPI, IPI | Asymmetric HP–inflation relationship: long-run asymmetries and stronger short-run response to CPI increases (vs decreases), cycle-dependent intensity | |
| UK | 1998–2017 | STAR | HPI, HA, unempl. rate, mortg. rate, inflation rate | Strong regional heterogeneity and asymmetries; affordability is a key mechanism behind nonlinear dynamics in high-volatility periods | |
| Turkey | 2010–2021 | Asymmetric–Nonlinear ARDL (NARDL) | RHPI, exch. Rate, MR.rates, M2, CCI, HS | Significant long-run asymmetries; nonlinear/flexible models are required to capture housing-market dynamics accurately |
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