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Housing, credit, and real activity cycles: Characteristics and comovement

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  • Igan, Deniz
  • Kabundi, Alain
  • Nadal De Simone, Francisco
  • Pinheiro, Marcelo
  • Tamirisa, Natalia

Abstract

This paper describes the characteristics and comovement of cycles in house prices, residential investment, credit, interest rates, and real activity in advanced economies during the past 25Â years. Stylized facts and regularities are uncovered using a dynamic generalized factor model and spectral techniques. House price cycles are found to lead credit and real activity 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. Although global factors are important, the US business cycle, housing cycle and interest rate cycle generally lead the respective cycles in other countries over all time horizons, while the US credit cycle leads mainly over the long term.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Housing Economics.

Volume (Year): 20 (2011)
Issue (Month): 3 (September)
Pages: 210-231

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Handle: RePEc:eee:jhouse:v:20:y:2011:i:3:p:210-231

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Web page: http://www.elsevier.com/locate/inca/622881

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Keywords: Macro-financial linkages House prices Credit Business cycle;

References

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Citations

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Cited by:
  1. Bracke, Philippe, 2013. "How long do housing cycles last? A duration analysis for 19 OECD countries," Journal of Housing Economics, Elsevier, vol. 22(3), pages 213-230.
  2. repec:asi:ajoerj:2013:p:785-807 is not listed on IDEAS
  3. Deniz Igan & Alain N. Kabundi & Francisco Nadal-De Simone & Natalia T. Tamirisa, 2013. "Monetary Policy and Balance Sheets," IMF Working Papers 13/158, International Monetary Fund.
  4. Crowe, Christopher & Dell’Ariccia, Giovanni & Igan, Deniz & Rabanal, Pau, 2013. "How to deal with real estate booms: Lessons from country experiences," Journal of Financial Stability, Elsevier, vol. 9(3), pages 300-319.
  5. Kuang-Liang Chang & Ming-Hui Yen, 2014. "The magnitude and significance of macroeconomic variables in explaining regional housing fluctuations," Economics Bulletin, AccessEcon, vol. 34(2), pages 828-841.

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