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Three Cycles: Housing, Credit, and Real Activity
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Author/Editor: |
Igan, Deniz | Kabundi, Alain N. | Nadal-De Simone, Francisco | Pinheiro, Marcelo | Tamirisa, Natalia T. |
| Authorized for Distribution: |
October 1, 2009 |
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Electronic Access: |
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Disclaimer: This Working Paper should not be reported as representing the views of the IMF. The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate.
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Summary: 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.
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Order a print copy
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Series: |
Working Paper No. 09/231 |
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Subject(s): |
Bank credit | Business cycles | Credit demand | Cross country analysis | Developed countries | Economic growth | Economic models | Household credit | Housing prices | Interest rates | Time series |
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Author's keyword(s): |
Macro-financial linkages
| house prices
| credit
| business cycle
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Published: |
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October 1, 2009 |
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Format: |
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Paper |
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Stock No: |
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WPIEA2009231 |
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Pages: |
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32 |
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Price: |
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US$18.00 (Academic Rate: US$18.00 )
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