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Global House Price Fluctuations: Synchronization and Determinants
Author:
Mr. Hideaki Hirata null

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,
Mr. Ayhan Kose
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Mr. Christopher Otrok
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Mr. Marco Terrones
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Series:
IMF Working Papers
Volume/Issue:
Volume 2013: Issue 038
Language:
English
Publication Date:
06 Feb 2013
DOI:
https://doi.org/10.5089/9781475523621.001
ISBN:
9781475523621
ISSN:
1018-5941
Pages:
47
Keywords:
WP; house price; equity price; globalization period; interest rate shock; credit market; house price cycle; house price dynamics; house price fluctuation; oil price shock; price factor; monetary policy; interest rates; business cycles; financial cycles; house prices in the United States; house price growth; house price factor; house price bust; Housing prices; Credit; Housing; Short term interest rates; Global
Legal-disclaimer:
IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.
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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.
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Cover IMF Working Papers
IMF Working Papers
ISSN:
1018-5941
Publisher:
International Monetary Fund