Global House Price Fluctuations: Synchronization and Determinants
IMF Working Papers, February 6, 2013
Source details
- Canonical URL
- Global House Price Fluctuations: Synchronization and Determinants
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Bibliographic details
- Authors: Hideaki Hirata, Ayhan Kose, Christopher Otrok, Marco Terrones
- Published: February 6, 2013
- Series: IMF Working Papers
- DOI: https://doi.org/10.5089/9781475523621.001
Research questions and scope
- Examines house price fluctuations across 18 advanced economies over the past 40 years.
- Two specific questions:
- How synchronized are housing cycles across these countries?
- What are the main shocks driving movements in global house prices?
Data and methods
- Estimates global components in house prices and various macroeconomic and financial variables.
- Evaluates roles of global shocks using a wide range of FAVAR models.
- Types of global shocks considered include:
- interest rate shocks
- monetary policy shocks
- productivity shocks
- credit shocks
- uncertainty shocks
Key findings
- House prices are synchronized across countries.
- The degree of synchronization has increased over time.
- Global interest rate shocks tend to have a significant negative effect on global house prices.
- Global monetary policy shocks per se do not appear to have a sizeable impact on global house prices.
- Uncertainty shocks seem to be important in explaining fluctuations in global house prices.
Subjects and keywords
- Subject: Credit, Financial services, Globalization, Housing, Housing prices, Money, National accounts, Prices, Short term interest rates
- Keywords: business cycles, Credit, credit market, equity price, financial cycles, Global, globalization period, house price, house price bust, house price cycle, house price dynamics, house price factor, house price fluctuation, house price growth, house prices in the United States, Housing, Housing prices, interest rate shock, interest rates, monetary policy, oil price shock, price factor, Short term interest rates, WP