Housing cycles and macroeconomic fluctuations: A global perspective

Ambrogio Cesa-Bianchi

Journal of International Money and Finance, 2013, vol. 37, issue C, 215-238

Abstract: This paper investigates the international spillovers of housing demand shocks on real economic activity. The global economy is modeled using a Global VAR, with a novel house price data set for both advanced and emerging economies. The impulse responses to an identified U.S. housing demand shock confirm the existence of strong international spillovers to advanced economies. In contrast, the response of some major emerging economies is not significantly different from zero. Moreover, the analysis of synchronized housing demand shocks speaks in favor of the recent evidence of increased resilience of emerging economies to shocks originating in advanced economies; and it also suggests that a close monitoring of housing cycles in advanced economies as well as in emerging economies should be of interest for policy-makers.

Keywords: Housing demand shocks; Great recession; Identification of shocks; Emerging market economies; Global VAR; International business cycle (search for similar items in EconPapers)
JEL-codes: C32 E44 F44 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (76)

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Related works:
Working Paper: Housing Cycles and Macroeconomic Fluctuations: A Global Perspective (2012)
Working Paper: Housing Cycles and Macroeconomic Fluctuations: A Global Perspective (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jimfin:v:37:y:2013:i:c:p:215-238

DOI: 10.1016/j.jimonfin.2013.06.004

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