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Global Liquidity, House Prices, and the Macroeconomy

2015-01-29 Business & Economics
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Release : 2015-01-29
Genre : Business & Economics
Kind : eBook
Book Rating : 033/5 ( reviews)

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Book Synopsis Global Liquidity, House Prices, and the Macroeconomy by : Ambrogio Cesa-Bianchi

Download or read book Global Liquidity, House Prices, and the Macroeconomy written by Ambrogio Cesa-Bianchi. This book was released on 2015-01-29. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Global Liquidity, House Prices, and the Macroeconomy

2015-01-29 Business & Economics
Download Global Liquidity, House Prices, and the Macroeconomy PDF Online Free

Author :
Release : 2015-01-29
Genre : Business & Economics
Kind : eBook
Book Rating : 936/5 ( reviews)

GET EBOOK


Book Synopsis Global Liquidity, House Prices, and the Macroeconomy by : Ambrogio Cesa-Bianchi

Download or read book Global Liquidity, House Prices, and the Macroeconomy written by Ambrogio Cesa-Bianchi. This book was released on 2015-01-29. Available in PDF, EPUB and Kindle. Book excerpt: 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.

House Prices and the Macroeconomy

2007 Business & Economics
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Release : 2007
Genre : Business & Economics
Kind : eBook
Book Rating : 594/5 ( reviews)

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Book Synopsis House Prices and the Macroeconomy by : Charles Goodhart

Download or read book House Prices and the Macroeconomy written by Charles Goodhart. This book was released on 2007. Available in PDF, EPUB and Kindle. Book excerpt: House price bubbles, and their aftermath, have become a focus of macro-economic policy concern in most developed countries. This book elucidates the two-way relationship between house-price fluctuations and economic fundamentals. Housing has many features which make it distinct from other assets, like equity. Real estate is not only an asset but also a durable consumption good for households, providing shelter and other housing services. As a result, a house is often the largest and most important asset of households and therefore accounts for a major share of household wealth. Similarly a large share of bank assets is tied to housing values. House price fluctuations may, therefore, have a major effect on economic activity and the soundness of the financial system. Following an introductory chapter, the book is structured into three parts. The first demonstrates the importance of house prices as determinants or indicators of inflation and economic activity. The second focuses on the inter-relationships between bank credit extension and housing prices, and how bubbles can lead to financial crises. The third discusses resultant public policy issues, such as whether, and how, to include housing prices in a general inflation index, and how to restrain the housing/bank credit cycle.

Global House Price Fluctuations

2012 Economics
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Release : 2012
Genre : Economics
Kind : eBook
Book Rating : /5 ( reviews)

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Book Synopsis Global House Price Fluctuations by : Hideaki Hirata

Download or read book Global House Price Fluctuations written by Hideaki Hirata. This book was released on 2012. Available in PDF, EPUB and Kindle. Book excerpt: 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 -- National Bureau of Economic Research web site.

Global House Price Fluctuations

2013-02-06 Business & Economics
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Release : 2013-02-06
Genre : Business & Economics
Kind : eBook
Book Rating : 608/5 ( reviews)

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Book Synopsis Global House Price Fluctuations by : Mr.Hideaki Hirata

Download or read book Global House Price Fluctuations written by Mr.Hideaki Hirata. This book was released on 2013-02-06. Available in PDF, EPUB and Kindle. Book excerpt: 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.

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