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Housing cycles and macroeconomic fluctuations: A global perspective

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  • Cesa-Bianchi, Ambrogio

Abstract

This paper investigates the international spillovers of housing demand shocks on real economic activity. The global economy is modeled using a Global VAR, with a novel house price data set for both advanced and emerging economies. The impulse responses to an identified U.S. housing demand shock confirm the existence of strong international spillovers to advanced economies. In contrast, the response of some major emerging economies is not significantly different from zero. Moreover, the analysis of synchronized housing demand shocks speaks in favor of the recent evidence of increased resilience of emerging economies to shocks originating in advanced economies; and it also suggests that a close monitoring of housing cycles in advanced economies as well as in emerging economies should be of interest for policy-makers.

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Article provided by Elsevier in its journal Journal of International Money and Finance.

Volume (Year): 37 (2013)
Issue (Month): C ()
Pages: 215-238

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Handle: RePEc:eee:jimfin:v:37:y:2013:i:c:p:215-238

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Web page: http://www.elsevier.com/locate/inca/30443

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Keywords: Housing demand shocks; Great recession; Identification of shocks; Emerging market economies; Global VAR; International business cycle;

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Cited by:
  1. Jonas Dovern & Björn van Roye, 2013. "International transmission of financial stress: evidence from a GVAR," Kiel Working Papers 1844, Kiel Institute for the World Economy.
  2. Ambrogio Cesa-Bianchi & M. Hashem Pesaran & Alessandro Rebucci & TengTeng Xu, 2012. "China’s Emergence in the World Economy and Business Cycles in Latin America," Working Papers 12-32, Bank of Canada.
  3. Dreger, Christian & Zhang, Yanqun, 2014. "Does the economic integration of China affect growth and inflation in industrial countries?," Economic Modelling, Elsevier, vol. 38(C), pages 184-189.
  4. Hideaki Hirata & M. Ayhan Kose & Christopher Otrok & Marco E. Terrones, 2012. "Global House Price Fluctuations: Synchronization and Determinants," NBER Working Papers 18362, National Bureau of Economic Research, Inc.
  5. Francis E Warnock & Veronica Cacdac Warnock, 2012. "Developing Housing Finance Systems," RBA Annual Conference Volume, in: Alexandra Heath & Frank Packer & Callan Windsor (ed.), Property Markets and Financial Stability Reserve Bank of Australia.

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