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Predicting Downside Risks to House Prices and Macro-Financial Stability
Author:
Andrea Deghi null

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Mitsuru Katagiri null

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Mr. Sohaib Shahid
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Nico Valckx null

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https://orcid.org/0000-0001-5808-9093
Series:
IMF Working Papers
Volume/Issue:
Volume 2020: Issue 011
Language:
English
Publication Date:
17 Jan 2020
DOI:
https://doi.org/10.5089/9781513525839.001
ISBN:
9781513525839
ISSN:
1018-5941
Pages:
47
Keywords:
WP; monetary policy; house price; financial crisis; real GDP; House Prices; Growth at Risk; Panel Quantile Regression; Early Warning Models; Macroprudential Policy; Monetary Policy; overvaluation metrics; misalignment ratio; price dynamics; valuation variable; house price vulnerability; house price data; house price distribution; house prices valuation; house price overvaluation; house price imbalance; house price momentum; Housing prices; Housing; Emerging and frontier financial markets; Credit booms; 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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This paper predicts downside risks to future real house price growth (house-prices-at-risk or HaR) in 32 advanced and emerging market economies. Through a macro-model and predictive quantile regressions, we show that current house price overvaluation, excessive credit growth, and tighter financial conditions jointly forecast higher house-prices-at-risk up to three years ahead. House-prices-at-risk help predict future growth at-risk and financial crises. We also investigate and propose policy solutions for preventing the identified risks. We find that overall, a tightening of macroprudential policy is the most effective at curbing downside risks to house prices, whereas a loosening of conventional monetary policy reduces downside risks only in advanced economies and only in the short-term.
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Cover IMF Working Papers
IMF Working Papers
ISSN:
1018-5941
Publisher:
International Monetary Fund