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Global House Price Fluctuations

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Author Info

  • Hideaki Hirata
  • M. Ayhan Kose
  • Christopher Otrok
  • Marco Terrones

Abstract

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.

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Bibliographic Info

Paper provided by International Monetary Fund in its series IMF Working Papers with number 13/38.

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Length: 47
Date of creation: 06 Feb 2013
Date of revision:
Handle: RePEc:imf:imfwpa:13/38

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Related research

Keywords: Housing prices; Asset prices; Business cycles; Developed countries; Time series; monetary policy; interest rates; financial cycles; globalization; globalization period; inflation; long-term interest rates; financial markets; global financial crisis; monetary fund; central bank; monetary economics; monetary shock; globalization periods; financial integration; global financial markets; global real estate; global liquidity; international financial; transmission of monetary policy; contractionary monetary policy; exchange rates; monetary policy decisions; financial intermediation; monetary shocks; international financial markets;

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References

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Citations

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Cited by:
  1. Sandra Eickmeier & Leonardo Gambacorta & Boris Hofmann, 2013. "Understanding Global Liquidity," BIS Working Papers 402, Bank for International Settlements.
  2. Ghassen El Montasser & Ahdi N. Ajmi & Tsangyao Chang & Beatrice D. Simo-Kengne & Christophe Andre & Rangan Gupta, 2013. "Cross-Country Evidence On The Causal Relationship Between Policy Uncertainty And House Prices," Working Papers 201380, University of Pretoria, Department of Economics.

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