Global House Price Fluctuations : Synchronization and Determinants / Hideaki Hirata, Ayhan Kose, Christopher Otrok, Marco Terrones.

Format:

Book

Government document

Author/Creator:

Hirata, Hideaki.

Contributor:

Kose, M. Ayhan.

Otrok, Christopher.

Terrones, Marco.

International Monetary Fund.

Series:

IMF Working Papers; Working Paper ; No. 2013/038

IMF Working Papers

Language:

English

Subjects (All):

Housing--Prices--Economic aspects--Econometric models.

Housing.

Housing policy.

Physical Description:

1 online resource (48 p.)

Place of Publication:

Washington, D.C. : International Monetary Fund, 2013.

Language Note:

English

Summary:

We examine the properties of house price fluctuations across 18 advanced economies over the past 40 years. We ask two specific questions: First, how synchronized are housing cycles across these countries? Second, what are the main shocks driving movements in global house prices? To address these questions, we first estimate the global components in house prices and various macroeconomic and financial variables. We then evaluate the roles played by a variety of global shocks, including shocks to interest rates, monetary policy, productivity, credit, and uncertainty, in explaining house price fluctuations using a wide range of FAVAR models. We find that house prices are synchronized across countries, and the degree of synchronization has increased over time. Global interest rate shocks tend to have a significant negative effect on global house prices whereas global monetary policy shocks per se do not appear to have a sizeable impact. Interestingly, uncertainty shocks seem to be important in explaining fluctuations in global house prices.

Contents:

Cover; Contents; I. Introduction; II. What Do We Know About Synchronization of House Prices? A Brief Review; III. Database and Methodology; A. Database; B. Methodology; IV. House Price Fluctuations: Basic Facts; A. Growth, Volatility and Comovement; B. Synchronization of House Prices; C. Variance Explained by Common Factors; V. Explaining House Price Fluctuations; A. Identification of Structural Shocks; B. Evidence on the Sources of House Price Fluctuations; VI. Conclusion; References; Appendix; I. Database; Tables; 1. Housing Cycles, Recessions and Recoveries; 2. Summary Statistics

3. Correlations Across Variables Within Countries4. Lead/Lag Correlations Between House Prices and Other Variables; 5. Cross-Country Correlations; 6. Concordance Across Countries; 7. Variance Explained by the Global Factors; 8. Correlations Among Principal Components of Variables; 9. Variance Decompositions (Recursive Identification); 10A. Variance Decompositions for Credit Shocks (Identification with Sign Restrictions); 10B. Variance Decompositions for Monetary Policy Shocks (Identification with Sign Restrictions)

10C. Variance Decompositions for Productivity Shocks (Identification with Sign Restrictions)11A. Variance Decompositions for Uncertainty Shocks (Recursive Identification, 18 Countries); 11B. Variance Decompositions for Uncertainty Shocks (Recursive Identification, G7 Countries); Figures; 1. Coincidence of House Price Downturns and Recessions; 2. Global Factors of Financial Variables and Output; 3. Distribution of Cross-Country Correlations; 4A. Impulse Responses of House Prices to Different Shocks (18 Countries); 4B. Impulse Responses of House Prices to Interest Rate Shocks

5A. Impulse Responses to Monetary Policy Shocks (18 Countries)5B. Impulse Responses to Credit Shock (18 Countries); 5C. Impulse Responses to Productivity Shocks (18 Countries); 6A. Impulse Responses to Uncertainty Shocks (18 Countries); 6B. Impulse Responses to Uncertainty Shocks (G7 Countries)

Notes:

Description based upon print version of record.

Includes bibliographical references.

Description based on print version record.

ISBN:

9781475599367

1475599366

9781475591606

1475591608

9781299265202

1299265200

9781475552072

1475552076