House Price Synchronization and Financial Openness: A Dynamic Factor Model Approach

Author/Editor:

Mitsuru Katagiri

Publication Date:

September 28, 2018

Electronic Access:

Free Download. Use the free Adobe Acrobat Reader to view this PDF file

Disclaimer: IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.

Summary:

This paper investigates the developments in house price synchronization across countries by a dynamic factor model using a country- and city-level dataset, and examines what drives the synchronization. The empirical results indicate that: (i) the degree of synchronization has been rising since the 1970s, and (ii) a large heterogeneity in the degree of synchronization exists across countries and cities. A panel and cross-sectional regression analysis show that the heterogeneity of synchronization is partly accounted for by the progress in financial and trade openness. Also, the city-level analysis implies that the international synchronization is mainly driven by the city-level connectivity between large and international cities.

Series:

Working Paper No. 2018/209

Subject:

English

Publication Date:

September 28, 2018

ISBN/ISSN:

9781484378243/1018-5941

Stock No:

WPIEA2018209

Pages:

28

Please address any questions about this title to publications@imf.org