| Description |
1 online resource (43 pages) : color illustrations |
| Series |
IMF working paper, 1018-5941 ; WP/15/23 |
|
IMF working paper ; WP/15/23.
|
| Contents |
Cover; Contents; I. Introduction; II. A New Global House Price Data Set; Figures; 1. Real House Prices; III. House Price Cycles in Advance and Emerging Economies; Tables; 1 Summary Statistics; IV. Co-movement between House Prices and the Macroeconomy; 2. Real House Price Inflation; 3. Cross-Correlations; V. Global Liquidity and Its Impact on the Macroeconomy; 4. Global Liquidity; VI. Global Liquidity, House Prices and Consumption Dynamics; A. The Empirical Model; B. Estimation Results; 2. Instrumental Variable Estimation; 5. Global Liquidity Shock -- Cholesky Identification |
|
6. Global Liquidity Shock -- IV IdentificationVII. Inspecting the Transmission Mechanism; 7. Global Liquidity Shock -- Housing Channel; 8. Global Liquidity Shock -- Exchange Rate Channel; VIII. Conclusions; References; Appendix A. Data Sources; Appendix B. Robustnes; Appendix c. Identification |
| Summary |
In this paper we first compare house price cycles in advanced and emerging economies using a new quarterly house price data set covering the period 1990-2012. We find that house prices in emerging economies grow faster, are more volatile, less persistent and less synchronized across countries than in advanced economies. We also find that they correlate with capital flows more closely than in advanced economies. We then condition the analysis on an exogenous change to a particular component of capital flows. We find that a global liquidity shock, identified by aggregating bank-to-bank cross border flows and by using the external instrumental variable approach of Stock and Watson (2012) and Mertens and Ravn (2013), has a much stronger impact on house prices and consumption in emerging markets than in advanced economies. In our empirical model, holding house prices or the exchange rate constant in response to this shock tends to dampen its effects on consumption in emerging economies.--Abstract |
| Notes |
"January 2015." |
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"Research Department." |
| Bibliography |
Includes bibliographical references (pages 33-35) |
| Notes |
Online resource; title from pdf title page (IMF.org Web site, viewed January 30, 2015) |
| Subject |
Housing -- Prices -- Developed countries
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Housing -- Prices -- Developing countries
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Business cycles
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Capital movements.
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International liquidity.
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Business cycles
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Capital movements
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Housing -- Prices
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International liquidity
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| SUBJECT |
Developed countries -- Housing -- Prices
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| Subject |
Developed countries
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Developing countries
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| Form |
Electronic book
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| Author |
Céspedes, Luis Felipe, author.
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Rebucci, Alessandro, author.
|
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International Monetary Fund. Research Department.
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| ISBN |
1484346033 |
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9781484346037 |
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9781475550931 |
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1475550936 |
|
