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


Mitsuru Katagiri

Publication Date:

September 28, 2018

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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.


Working Paper No. 2018/209



Publication Date:

September 28, 2018



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