Global House Price Fluctuations: Synchronization and Determinants

Hideaki Hirata (), Ayhan Kose, Christopher Otrok and Marco Terrones

CAMA Working Papers from Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University

Abstract: We examine the properties of house price fluctuations across 18 advanced economies over the past 40 years. We ask two specific questions: First, how synchronized are housing cycles across these countries? Second, what are the main shocks driving movements in global house prices? To address these questions, we first estimate the global components in house prices and various macroeconomic and financial variables. We then evaluate the roles played by a variety of global shocks, including shocks to interest rates, monetary policy, productivity, credit, and uncertainty, in explaining house price fluctuations using a wide range of FAVAR models. We find that house prices are synchronized across countries, and the degree of synchronization has increased over time. Global interest rate shocks tend to have a significant negative effect on global house prices whereas global monetary policy shocks per se do not appear to have a sizeable impact. Interestingly, uncertainty shocks seem to be important in explaining fluctuations in global house prices.

Keywords: Monetary policy; interest rates; business cycles; financial cycles (search for similar items in EconPapers)
JEL-codes: E32 E43 E52 G15 R31 (search for similar items in EconPapers)
Pages: 46 pages
Date: 2013-02
New Economics Papers: this item is included in nep-ifn, nep-mac and nep-ure
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (50)

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https://cama.crawford.anu.edu.au/sites/default/fil ... ok_terrones_2013.pdf (application/pdf)

Related works:
Journal Article: Global House Price Fluctuations: Synchronization and Determinants (2013)
Working Paper: Global House Price Fluctuations: Synchronization and Determinants (2013)
Chapter: Global House Price Fluctuations: Synchronization and Determinants (2012)
Working Paper: Global House Price Fluctuations: Synchronization and Determinants (2012)
Working Paper: Global House Price Fluctuations: Synchronization and Determinants
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Persistent link: https://EconPapers.repec.org/RePEc:een:camaaa:2013-07

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