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Three Cycles : Housing, Credit, and Real Activity / Natalia Tamirisa, Alain Kabundi, Deniz Igan, Francisco Nadal De Simone, Marcelo Pinheiro.
- Format:
- Book
- Government document
- Author/Creator:
- Tamirisa, Natalia.
- Series:
- IMF Working Papers; Working Paper ; No. 2009/231
- IMF Working Papers
- Language:
- English
- Subjects (All):
- Business cycles.
- Consumer credit.
- International economic relations.
- Physical Description:
- 1 online resource (45 p.)
- Edition:
- 1st ed.
- Other Title:
- 3 cycles
- Place of Publication:
- Washington, D.C. : International Monetary Fund, 2009.
- Language Note:
- English
- Summary:
- We examine the characteristics and comovement of cycles in house prices, credit, real activity and interest rates in advanced economies during the past 25 years, using a dynamic generalized factor model. House price cycles generally lead credit and business cycles over the long term, while in the short to medium term the relationship varies across countries. Interest rates tend to lag other cycles at all time horizons. While global factors are important, the U.S. business cycle, house price cycle and interest rate cycle generally lead the respective cycles in other countries over all time horizons, while the U.S. credit cycle leads mainly over the long term.
- Contents:
- Cover Page; Title Page; Copyright Page; Contents; I. Introduction; II. Methodology; A. Common versus Idiosyncratic Components; B. Measures of Comovement; C. Characteristics of Cycles; III. Data and Data Transformations; A. Data; B. Unit Root Tests; 1. Unit Root Tests; C. Band-Pass Filter; 1. Filtered versus Differenced Series; 2. Variance Shares; IV. Results; A. Domestic Cycles; 2. Total Cyclical Movements of Real GDP, Credit and House Prices; 3. Cycle Characteristics; 4. Characteristics of Mortgagee Markets; 5. Correlation Coefficients for Total Cyclical Components
- 6. Leads and Lags between Cycles within Countries7. Evolution of Cyclical Movements Driven by Common Components; 3. Total Cyclical Movements versus Common Components in Selected Countries Real GDP; 4. Common Components for Selected Countries; B. International Comovement of Cycles; 8. Lead-Lag Relations between the United States and Other Countries; V. Conclusion; Appendix: Data Coverage and Sources; References; Footnotes
- Notes:
- "October 2009."
- Description based on print version record.
- ISBN:
- 9786612844324
- 9781462351725
- 1462351727
- 9781282844322
- 1282844326
- 9781451873788
- 1451873786
- 9781452784366
- 1452784361
- OCLC:
- 680613554
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