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Global House Price Fluctuations: Synchronization and Determinants

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  • Hideaki Hirata
  • M. Ayhan Kose
  • Chris Otrok
  • Marco TerronesÂ

Abstract

We examine the properties of house price fluctuations across eighteen advanced economies over the past forty 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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Paper provided by Harvard University OpenScholar in its series Working Paper with number 164451.

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Handle: RePEc:qsh:wpaper:164451

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Cited by:
  1. Cesa-Bianchi, Ambrogio, 2013. "Housing cycles and macroeconomic fluctuations: A global perspective," Journal of International Money and Finance, Elsevier, Elsevier, vol. 37(C), pages 215-238.
  2. Ambrogio Cesa-Bianchi & M. Hashem Pesaran & Alessandro Rebucci, 2014. "Uncertainty and Economic Activity: A Global Perspective," IDB Publications 86257, Inter-American Development Bank.
  3. Bernd Hayo & Britta Niehof, 2014. "Analysis of Monetary Policy Responses After Financial Market Crises in a Continuous Time New Keynesian Model," MAGKS Papers on Economics, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung) 201421, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
  4. 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.
  5. Stijn Claessens & M. Ayhan Kose, 2013. "Financial Crises: Explanations, Types and Implications," CAMA Working Papers 2013-06, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  6. Eickmeier, Sandra & Gambacorta, Leonardo & Hofmann, Boris, 2013. "Understanding global liquidity," Discussion Papers, Deutsche Bundesbank, Research Centre 03/2013, Deutsche Bundesbank, Research Centre.
  7. Bertay, A.C., 2014. "The Transmission of Real Estate Shocks Through Multinational Banks," Discussion Paper, Tilburg University, Center for Economic Research 2014-011, Tilburg University, Center for Economic Research.
  8. Xi Chen & Michael Funke, 2013. "Renewed Momentum in the German Housing Market: Boom or Bubble?," CESifo Working Paper Series 4287, CESifo Group Munich.

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