Global House Price Fluctuations: Synchronization and Determinants

44 Pages Posted: 8 Sep 2012 Last revised: 5 Mar 2023

See all articles by Hideaki Hirata

Hideaki Hirata

Hosei University; Japan Center for Economic Research

M. Ayhan Kose

World Bank; Brookings Institution; Centre for Economic Policy Research (CEPR); Australian National University (ANU)

Chris Otrok

University of Missouri; Federal Reserve Banks - Federal Reserve Bank of St. Louis

Marco E. Terrones

International Monetary Fund (IMF)

Multiple version iconThere are 3 versions of this paper

Date Written: September 2012

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.

Suggested Citation

Hirata, Hideaki and Kose, M. Ayhan and Otrok, Christopher and Terrones, Marco E., Global House Price Fluctuations: Synchronization and Determinants (September 2012). NBER Working Paper No. w18362, Available at SSRN: https://ssrn.com/abstract=2143549

Hideaki Hirata (Contact Author)

Hosei University ( email )

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Japan Center for Economic Research ( email )

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M. Ayhan Kose

World Bank ( email )

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Brookings Institution ( email )

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Australian National University (ANU) ( email )

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Christopher Otrok

University of Missouri ( email )

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Marco E. Terrones

International Monetary Fund (IMF) ( email )

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