Global House Price Fluctuations: Synchronization and Determinants

Hideaki Hirata (), Ayhan Kose, Christopher Otrok and Marco Terrones

No 18362, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: 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 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.

JEL-codes: E32 E43 E52 G15 R31 (search for similar items in EconPapers)
Date: 2012-09
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Published as Hideaki Hirata & M. Ayhan Kose & Christopher Otrok & Marco E Terrones, 2013. "Global House Price Fluctuations: Synchronization and Determinants," NBER International Seminar on Macroeconomics, University of Chicago Press, vol. 9(1), pages 119 - 166.
Published as Global House Price Fluctuations: Synchronization and Determinants , Hideaki Hirata, M. Ayhan Kose, Christopher Otrok, Marco E. Terrones. in NBER International Seminar on Macroeconomics 2012 , Giavazzi and West. 2013

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Journal Article: Global House Price Fluctuations: Synchronization and Determinants (2013)
Working Paper: Global House Price Fluctuations: Synchronization and Determinants (2013)
Working Paper: Global House Price Fluctuations: Synchronization and Determinants (2013)
Chapter: Global House Price Fluctuations: Synchronization and Determinants (2012)
Working Paper: Global House Price Fluctuations: Synchronization and Determinants
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