Global House Price Fluctuations: Synchronization and Determinants

48 Pages Posted: 22 Feb 2013

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: February 2013


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.

Keywords: Asset prices, Business cycles, Developed countries, Housing prices, Time series, business cycles, central bank, contractionary monetary policy, exchange rates, financial cycles, financial integration, financial intermediation, financial markets, global financial crisis, global financial markets, global liquidity, global real estate, globalization, globalization period, globalization periods, inflation, interest rates, international financial, international financial markets, long-term interest rates, monetary economics, monetary fund, monetary policy, monetary policy decisions, monetary shock, monetary shocks, transmission of monetary policy

JEL Classification: E32, E43, E52, G15, R31

Suggested Citation

Hirata, Hideaki and Kose, M. Ayhan and Otrok, Christopher and Terrones, Marco E., Global House Price Fluctuations: Synchronization and Determinants (February 2013). IMF Working Paper No. 13/38, Available at SSRN:

Hideaki Hirata

Hosei University ( email )

2-17-1 Fujimi
Chiyoda, Tokyo 112-6601

Japan Center for Economic Research ( email )

2-6-1, Nihonbashi Kayabacho
Chuo-ku, Tokyo 103-0025

M. Ayhan Kose

World Bank ( email )

1818 H Street, NW
Washington, DC 20433
United States

Brookings Institution ( email )

1775 Massachusetts Ave, NW
Washington, DC 20036
United States

Centre for Economic Policy Research (CEPR) ( email )

United Kingdom

Australian National University (ANU) ( email )

Canberra, Australian Capital Territory 2601

Christopher Otrok

University of Missouri ( email )

118 Professional Building
Columbia, MO 65211
United States

Federal Reserve Banks - Federal Reserve Bank of St. Louis ( email )

411 Locust St
Saint Louis, MO 63011
United States

Marco E. Terrones

International Monetary Fund (IMF) ( email )

700 19th Street NW
Washington, DC 20431
United States
202-623-4329 (Phone)


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