Has the euro sustainably increased home price co‐movement?

A low level of co‐movement between different euro country housing markets creates difficulties for the ECB in setting monetary policy. Such co‐movement across eurozone countries has been the subject of a number of studies, using different methodologies and finding mixed results. In this study, we use endogenous break methods to explicitly test for whether the introduction of the euro has changed home value co‐movement. We also employ informal correlation analysis. Endogenous break results indicate no sustainable increase in co‐movement attributable to the euro, whereas correlation analysis is suggestive of a decrease in synchronization since the currency's introduction.