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.First, uncertainty seems to move in tandem in the G-7 countries probably because of the highly interconnected nature of their financial markets. ... Lastly, our finding that the increase in stock market uncertainty drives up house prices is possibly associated with two factors: First, when there is ... prices. Leduc and Liu ( 2012) also report that uncertainty shocks are associated with declines in interest rates. VI.
|Title||:||Global House Price Fluctuations|
|Author||:||Mr. Hideaki Hirata, Mr. M. Ayhan Kose, Mr. Christopher Otrok, Mr. Marco Terrones|
|Publisher||:||International Monetary Fund - 2013-02-06|