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Housing Cycles and Macroeconomic Fluctuations: A Global Perspective

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  • Ambrogio Cesa-Bianchi

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 US 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. The paper also shows that synchronized housing demand shocks in advanced economies reinforce each other and have a deep and long-lasting impact on economic activity.

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Bibliographic Info

Paper provided by Inter-American Development Bank in its series IDB Publications with number 77379.

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Date of creation: Oct 2012
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Handle: RePEc:idb:brikps:77379

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Keywords: Financial Markets; Housing; Production & Business Cycles; Housing Cycles; GVAR; Identification of shocks; Emerging Markets; Boom and Bust Cycles;

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Cited by:
  1. Hideaki Hirata & M. Ayhan Kose & Chris Otrok & Marco TerronesÂ, . "Global House Price Fluctuations: Synchronization and Determinants," Working Paper 164451, Harvard University OpenScholar.
  2. Ambrogio Cesa-Bianchi & M. Hashem Pesaran & Alessandro Rebucci & TengTeng Xu, 2011. "China's Emergence in the World Economy and Business Cycles in Latin America," IDB Publications 44738, Inter-American Development Bank.
  3. 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.
  4. Christian Dreger & Yanqun Zhang, 2013. "Does the economic integration of China affect growth and inflation in industrial countries?," FIW Working Paper series 116, FIW.
  5. 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.

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