NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Hideaki Hirata

Faculty of Business Administration
Hosei University
Japan

E-Mail: EmailAddress: hidden: you can email any NBER-related person as first underscore last at nber dot org

NBER Working Papers and Publications

September 2012Global House Price Fluctuations: Synchronization and Determinants
with M. Ayhan Kose, Christopher Otrok, Marco E. Terrones: w18362
We examine the properties of house price fluctuations across eighteen advanced economies over the past forty 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 sho...

Published:

August 2012Global House Price Fluctuations: Synchronization and Determinants
with M. Ayhan Kose, Christopher Otrok, Marco E. Terrones
in NBER International Seminar on Macroeconomics 2012, Francesco Giavazzi and Kenneth D. West, organizers
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 factor-augmented vector autoregressive (FAVAR) models. We find that house prices are synchronized across countries, and the degree of synchronization has increased ove...
 
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