Global Liquidity, House Prices, and the Macroeconomy; Evidence from Advanced and Emerging Economies
Ambrogio Cesa-Bianchi (),
Luis Cespedes () and
Alessandro Rebucci ()
No 15/23, IMF Working Papers from International Monetary Fund
In this paper we first compare house price cycles in advanced and emerging economies using a new quarterly house price data set covering the period 1990-2012. We find that house prices in emerging economies grow faster, are more volatile, less persistent and less synchronized across countries than in advanced economies. We also find that they correlate with capital flows more closely than in advanced economies. We then condition the analysis on an exogenous change to a particular component of capital flows. We find that a global liquidity shock, identified by aggregating bank-to-bank cross border flows and by using the external instrumental variable approach of Stock and Watson (2012) and Mertens and Ravn (2013), has a much stronger impact on house prices and consumption in emerging markets than in advanced economies. In our empirical model, holding house prices or the exchange rate constant in response to this shock tends to dampen its effects on consumption in emerging economies.
Keywords: Emerging markets; Developed countries; Capital flows; Business cycles; Global liquidity; Housing prices; International liquidity; C32, E44, F44, economies, liquidity, advanced economies, exchange rate, Time-Series Models, Financial Markets and the Macroeconomy, International Business Cycles, house prices, external instrumental variables, (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ifn, nep-mac, nep-opm and nep-ure
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (37) Track citations by RSS feed
Downloads: (external link)
Journal Article: Global Liquidity, House Prices, and the Macroeconomy: Evidence from Advanced and Emerging Economies (2015)
Working Paper: Global liquidity, house prices and the macroeconomy: evidence from advanced and emerging economies (2015)
Working Paper: Global Liquidity, House Prices and the Macroeconomy: Evidence from Advanced and Emerging Economies (2015)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:imf:imfwpa:15/23
Ordering information: This working paper can be ordered from
Access Statistics for this paper
More papers in IMF Working Papers from International Monetary Fund International Monetary Fund, Washington, DC USA. Contact information at EDIRC.
Bibliographic data for series maintained by Jim Beardow ().