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Three Cycles: Housing, Credit and Real Activity

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  • Deniz Igan
  • Alain Kabundi
  • Francisco Nadal De Simone
  • Marcelo Pinheiro
  • Natalia Tamirisa

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 generalised factor model. House price cycles generally lead credit and business cycles over the long term, while in the short to medium run 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 tend to lead the respective cycles in other countries over all time horizons. However, the U.S. credit cycle leads mostly over the long term.

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Bibliographic Info

Paper provided by Economic Research Southern Africa in its series Working Papers with number 160.

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Date of creation: Jan 2010
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Handle: RePEc:rza:wpaper:160

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Keywords: Macro-financial linkages; house prices; credit; business cycle;

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