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Global House Price Fluctuations: Synchronization and Determinants

Author Info

Listed author(s):
  • Hideaki Hirata
  • M. Ayhan Kose
  • Christopher Otrok
  • Marco E 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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File URL: http://dx.doi.org/10.1086/669585
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File URL: http://dx.doi.org/10.1086/669585
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Article provided by University of Chicago Press in its journal NBER International Seminar on Macroeconomics.

Volume (Year): 9 (2013)
Issue (Month): 1 ()
Pages: 119-166

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Handle: RePEc:ucp:intsma:doi:10.1086/669585
Contact details of provider: Web page: http://www.journals.uchicago.edu/ISM/

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Find related papers by JEL classification:
  • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
  • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
  • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
  • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
  • R31 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location - - - Housing Supply and Markets

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