The international transmission of house price shocks

Olivier de Bandt, Karim Barhoumi () and C. Bruneau

Working papers from Banque de France

Abstract: In order to assess transmission mechanisms between global and domestic house prices, and possibly contagion effects, we use a large database of macroeconomic variables for OECD countries. We extract common factors to summarize the comovements of the variables and include them in stationary FAVAR models. We mainly focus on the "pandemic" view of contagion where local shocks, originating from a country or a local housing market, spread out to other domestic housing markets. An interesting finding is that, even allowing for other channels of international transmission (through global interest rates, or activity), the US real house price, which appears to be exogenous in the US dynamics, unidirectionally causes the international house price factor, which in turn causes the domestic real house price growth for several countries. The channels of contagion from the US appears therefore to be either direct, through house prices (in particular in the UK or Spain), or indirect through other variables.

Keywords: housing; factor models; Vector Autoregressive model. (search for similar items in EconPapers)
JEL-codes: C41 D21 E32 G33 (search for similar items in EconPapers)
Pages: 34 pages
Date: 2010
New Economics Papers: this item is included in nep-cba, nep-eec, nep-ifn and nep-ure
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (33)

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https://publications.banque-france.fr/sites/defaul ... g-paper_274_2010.pdf (application/pdf)

Related works:
Working Paper: The International Transmission of House Price Shocks (2010)
Working Paper: The International Transmission of House Price Shocks (2010)
Working Paper: The International Transmission of House Price Shocks (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:bfr:banfra:274

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