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

Author/Editor:

Mitsuru Katagiri

Publication Date:

September 28, 2018

Electronic Access:

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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. 18/209

Subject:

English

Publication Date:

September 28, 2018

ISBN/ISSN:

9781484378243/1018-5941

Stock No:

WPIEA2018209

Price:

$18.00 (Academic Rate:$18.00)

Format:

Paper

Pages:

28

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