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Three Cycles; Housing, Credit, and Real Activity

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  • Natalia T. Tamirisa
  • Alain N. Kabundi
  • Deniz O Igan
  • Francisco d Nadal De Simone
  • Marcelo Pinheiro

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

Suggested Citation

  • Natalia T. Tamirisa & Alain N. Kabundi & Deniz O Igan & Francisco d Nadal De Simone & Marcelo Pinheiro, 2009. "Three Cycles; Housing, Credit, and Real Activity," IMF Working Papers 09/231, International Monetary Fund.
  • Handle: RePEc:imf:imfwpa:09/231
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    Cited by:

    1. Dufrénot, Gilles & Malik, Sheheryar, 2012. "The changing role of house price dynamics over the business cycle," Economic Modelling, Elsevier, vol. 29(5), pages 1960-1967.
    2. Crowe, Christopher & Dell’Ariccia, Giovanni & Igan, Deniz & Rabanal, Pau, 2013. "How to deal with real estate booms: Lessons from country experiences," Journal of Financial Stability, Elsevier, vol. 9(3), pages 300-319.
    3. Galati, Gabriele & Hindrayanto, Irma & Koopman, Siem Jan & Vlekke, Marente, 2016. "Measuring financial cycles in a model-based analysis: Empirical evidence for the United States and the euro area," Economics Letters, Elsevier, vol. 145(C), pages 83-87.
    4. repec:eee:moneco:v:90:y:2017:i:c:p:113-124 is not listed on IDEAS
    5. Goodness C. Aye & Matthew W. Clance & Rangan Gupta, 2017. "The Effect of Economic Uncertainty on the Housing Market Cycle," Working Papers 201757, University of Pretoria, Department of Economics.
    6. Bracke, Philippe, 2013. "How long do housing cycles last? A duration analysis for 19 OECD countries," Journal of Housing Economics, Elsevier, vol. 22(3), pages 213-230.
    7. Gabriele Galati & Irma Hindrayanto & Siem Jan Koopman & Marente Vlekke, 2016. "Measuring financial cycles with a model-based filter: Empirical evidence for the United States and the euro area," DNB Working Papers 495, Netherlands Central Bank, Research Department.
    8. Hiona Balfoussia & Heather D. Gibson, 2016. "Firm investment and financial conditions in the euro area: evidence from firm-level data," Working Papers 208, Bank of Greece.
    9. Gersbach, Hans & Rochet, Jean-Charles, 2017. "Capital regulation and credit fluctuations," Journal of Monetary Economics, Elsevier, vol. 90(C), pages 113-124.
    10. Deniz Igan, 2012. "Welcome remarks," BIS Papers chapters,in: Bank for International Settlements (ed.), Dealing with real estate booms and busts, volume 64, pages 59-67 Bank for International Settlements.

    More about this item

    Keywords

    Economic models; Bank credit; Business cycles; Economic growth; Developed countries; Cross country analysis; Credit demand; Credit; Household credit; Housing prices; Interest rates; Time series; Macro-financial linkages; house prices; business cycle; lead; spillovers;

    JEL classification:

    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • F40 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - General

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