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Housing cycles and macroeconomic fluctuations: A global perspective

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  • Cesa-Bianchi, Ambrogio

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 U.S. 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. Moreover, the analysis of synchronized housing demand shocks speaks in favor of the recent evidence of increased resilience of emerging economies to shocks originating in advanced economies; and it also suggests that a close monitoring of housing cycles in advanced economies as well as in emerging economies should be of interest for policy-makers.

Suggested Citation

  • Cesa-Bianchi, Ambrogio, 2013. "Housing cycles and macroeconomic fluctuations: A global perspective," Journal of International Money and Finance, Elsevier, vol. 37(C), pages 215-238.
  • Handle: RePEc:eee:jimfin:v:37:y:2013:i:c:p:215-238
    DOI: 10.1016/j.jimonfin.2013.06.004
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    Keywords

    Housing demand shocks; Great recession; Identification of shocks; Emerging market economies; Global VAR; International business cycle;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • F44 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Business Cycles

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