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Three Cycles: Housing, Credit, and Real Activity

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  • Natalia T. Tamirisa
  • Alain N. Kabundi
  • Deniz Igan
  • Francisco Nadal-De Simone
  • Marcelo Pinheiro

Abstract

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.

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Bibliographic Info

Paper provided by International Monetary Fund in its series IMF Working Papers with number 09/231.

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Length: 32
Date of creation: 01 Oct 2009
Date of revision:
Handle: RePEc:imf:imfwpa:09/231

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Related research

Keywords: Credit; Bank credit; Credit demand; Developed countries; Economic growth; Economic models; Household credit; Housing prices; Interest rates;

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References

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Cited by:
  1. Dufrénot, Gilles & Malik, Sheheryar, 2012. "The changing role of house price dynamics over the business cycle," Economic Modelling, Elsevier, vol. 29(5), pages 1960-1967.
  2. 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.
  3. Deniz Igan, 2012. "Welcome remarks," BIS Papers chapters, in: Bank for International Settlements (ed.), Dealing with real estate booms and busts, volume 64, pages 59-67 Bank for International Settlements.
  4. Pau Rabanal & Christopher W. Crowe & Giovanni Dell'Ariccia & Deniz Igan, 2011. "How to Deal with Real Estate Booms: Lessons from Country Experiences," IMF Working Papers 11/91, International Monetary Fund.

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