Housing, credit, and real activity cycles: Characteristics and comovement

Deniz Igan, Alain Kabundi (), Francisco Nadal De Simone, Marcelo Pinheiro and Natalia Tamirisa ()

Journal of Housing Economics, 2011, vol. 20, issue 3, 210-231

Abstract: This paper describes the characteristics and comovement of cycles in house prices, residential investment, credit, interest rates, and real activity in advanced economies during the past 25Â years. Stylized facts and regularities are uncovered using a dynamic generalized factor model and spectral techniques. House price cycles are found to lead credit and real activity over the long term, while in the short to medium term the relationship varies across countries. Interest rates tend to lag other cycles at all time horizons. Although global factors are important, the US business cycle, housing cycle and interest rate cycle generally lead the respective cycles in other countries over all time horizons, while the US credit cycle leads mainly over the long term.

Keywords: Macro-financial; linkages; House; prices; Credit; Business; cycle (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (46)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jhouse:v:20:y:2011:i:3:p:210-231

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