Housing Cycles and Macroeconomic Fluctuations: A Global Perspective
This paper investigates the international spillovers of housing demand shocks on real economic activity. The global economy is modeled using a Global VAR, with a novel house price data set for both advanced and emerging economies. The impulse responses to an identified US housing demand shock confirm the existence of strong international spillovers to advanced economies. In contrast, the response of some major emerging economies is not significantly different from zero. The paper also shows that synchronized housing demand shocks in advanced economies reinforce each other and have a deep and long-lasting impact on economic activity.
Saved in:
| Main Author: | |
|---|---|
| Other Authors: | |
| Format: | Working Papers biblioteca |
| Language: | English |
| Published: |
Inter-American Development Bank
|
| Subjects: | Financial Market, Housing, Production and Business Cycle, C32 - Time-Series Models • Dynamic Quantile Regressions • Dynamic Treatment Effect Models • Diffusion Processes • State Space Models, E44 - Financial Markets and the Macroeconomy, F44 - International Business Cycles, Housing Cycles, GVAR, Identification of shocks, Emerging Markets, Boom and Bust Cycles, |
| Online Access: | http://dx.doi.org/10.18235/0011417 https://publications.iadb.org/en/housing-cycles-and-macroeconomic-fluctuations-global-perspective |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| id |
dig-bid-node-11082 |
|---|---|
| record_format |
koha |
| spelling |
dig-bid-node-110822024-05-30T20:30:06ZHousing Cycles and Macroeconomic Fluctuations: A Global Perspective 2012-10-11T00:00:00+0000 http://dx.doi.org/10.18235/0011417 https://publications.iadb.org/en/housing-cycles-and-macroeconomic-fluctuations-global-perspective Inter-American Development Bank Financial Market Housing Production and Business Cycle C32 - Time-Series Models • Dynamic Quantile Regressions • Dynamic Treatment Effect Models • Diffusion Processes • State Space Models E44 - Financial Markets and the Macroeconomy F44 - International Business Cycles Housing Cycles, GVAR, Identification of shocks, Emerging Markets, Boom and Bust Cycles This paper investigates the international spillovers of housing demand shocks on real economic activity. The global economy is modeled using a Global VAR, with a novel house price data set for both advanced and emerging economies. The impulse responses to an identified US housing demand shock confirm the existence of strong international spillovers to advanced economies. In contrast, the response of some major emerging economies is not significantly different from zero. The paper also shows that synchronized housing demand shocks in advanced economies reinforce each other and have a deep and long-lasting impact on economic activity. Inter-American Development Bank Ambrogio Cesa-Bianchi Working Papers application/pdf IDB Publications en |
| institution |
BID |
| collection |
DSpace |
| country |
Estados Unidos |
| countrycode |
US |
| component |
Bibliográfico |
| access |
En linea |
| databasecode |
dig-bid |
| tag |
biblioteca |
| region |
America del Norte |
| libraryname |
Biblioteca Felipe Herrera del BID |
| language |
English |
| topic |
Financial Market Housing Production and Business Cycle C32 - Time-Series Models • Dynamic Quantile Regressions • Dynamic Treatment Effect Models • Diffusion Processes • State Space Models E44 - Financial Markets and the Macroeconomy F44 - International Business Cycles Housing Cycles, GVAR, Identification of shocks, Emerging Markets, Boom and Bust Cycles Financial Market Housing Production and Business Cycle C32 - Time-Series Models • Dynamic Quantile Regressions • Dynamic Treatment Effect Models • Diffusion Processes • State Space Models E44 - Financial Markets and the Macroeconomy F44 - International Business Cycles Housing Cycles, GVAR, Identification of shocks, Emerging Markets, Boom and Bust Cycles |
| spellingShingle |
Financial Market Housing Production and Business Cycle C32 - Time-Series Models • Dynamic Quantile Regressions • Dynamic Treatment Effect Models • Diffusion Processes • State Space Models E44 - Financial Markets and the Macroeconomy F44 - International Business Cycles Housing Cycles, GVAR, Identification of shocks, Emerging Markets, Boom and Bust Cycles Financial Market Housing Production and Business Cycle C32 - Time-Series Models • Dynamic Quantile Regressions • Dynamic Treatment Effect Models • Diffusion Processes • State Space Models E44 - Financial Markets and the Macroeconomy F44 - International Business Cycles Housing Cycles, GVAR, Identification of shocks, Emerging Markets, Boom and Bust Cycles Inter-American Development Bank Housing Cycles and Macroeconomic Fluctuations: A Global Perspective |
| description |
This paper investigates the international spillovers of housing demand shocks on real economic activity. The global economy is modeled using a Global VAR, with a novel house price data set for both advanced and emerging economies. The impulse responses to an identified US housing demand shock confirm the existence of strong international spillovers to advanced economies. In contrast, the response of some major emerging economies is not significantly different from zero. The paper also shows that synchronized housing demand shocks in advanced economies reinforce each other and have a deep and long-lasting impact on economic activity. |
| author2 |
Ambrogio Cesa-Bianchi |
| author_facet |
Ambrogio Cesa-Bianchi Inter-American Development Bank |
| format |
Working Papers |
| topic_facet |
Financial Market Housing Production and Business Cycle C32 - Time-Series Models • Dynamic Quantile Regressions • Dynamic Treatment Effect Models • Diffusion Processes • State Space Models E44 - Financial Markets and the Macroeconomy F44 - International Business Cycles Housing Cycles, GVAR, Identification of shocks, Emerging Markets, Boom and Bust Cycles |
| author |
Inter-American Development Bank |
| author_sort |
Inter-American Development Bank |
| title |
Housing Cycles and Macroeconomic Fluctuations: A Global Perspective |
| title_short |
Housing Cycles and Macroeconomic Fluctuations: A Global Perspective |
| title_full |
Housing Cycles and Macroeconomic Fluctuations: A Global Perspective |
| title_fullStr |
Housing Cycles and Macroeconomic Fluctuations: A Global Perspective |
| title_full_unstemmed |
Housing Cycles and Macroeconomic Fluctuations: A Global Perspective |
| title_sort |
housing cycles and macroeconomic fluctuations: a global perspective |
| publisher |
Inter-American Development Bank |
| url |
http://dx.doi.org/10.18235/0011417 https://publications.iadb.org/en/housing-cycles-and-macroeconomic-fluctuations-global-perspective |
| work_keys_str_mv |
AT interamericandevelopmentbank housingcyclesandmacroeconomicfluctuationsaglobalperspective |
| _version_ |
1809106942498439168 |