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Global House Price Fluctuations : Synchronization and Determinants

Author/Editor: Hideaki Hirata | M. Ayhan Kose | Christopher Otrok | Marco Terrones
Authorized for Distribution: February 6, 2013
Electronic Access: Free Full Text (PDF file size is 1,354KB)
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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.

Summary: 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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Series: Working Paper No. 13/38
Subject(s): Housing prices | Asset prices | Business cycles | Developed countries | Time series
    Published:   February 6, 2013        
    ISBN/ISSN:   9781475523621/1018-5941   Format:   Paper
    Stock No:   WPIEA2013038   Pages:   47
    Price:   US$18.00
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