TY  - JOUR
AU  - Hirata, Hideaki
AU  - Kose, M. Ayhan
AU  - Otrok, Christopher
AU  - Terrones, Marco E
TI  - Global House Price Fluctuations: Synchronization and Determinants
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 18362
PY  - 2012
Y2  - September 2012
DO  - 10.3386/w18362
UR  - http://www.nber.org/papers/w18362
L1  - http://www.nber.org/papers/w18362.pdf
N1  - Author contact info:
Hideaki Hirata
Faculty of Business Administration
Hosei University
Japan
E-Mail: h-hirata@hosei.ac.jp

M. Ayhan Kose
World Bank
1818 H St NW
Washington, DC 20433
E-Mail: akose@worldbank.org

Christopher Otrok
Department of Economics
University of Missouri
Columbia, MO  65211
and Federal Reserve Bank of St Louis 
Tel: 573-882-1587
E-Mail: otrokc@missouri.edu

Marco E. Terrones
Research Department
International Monetary Fund
700 19th Street, N.W.
Washington DC 20431
E-Mail: marcoeterrones@gmail.com
M1  - published as Hideaki Hirata, M. Ayhan Kose, Christopher Otrok, Marco E. Terrones. "Global House Price Fluctuations: Synchronization and Determinants," in Francesco Giavazzi and Kenneth D. West, organizers, "NBER International Seminar on Macroeconomics 2012" University of Chicago Press (2013)

M3  - presented at "ISOM", June 15-16, 2012
AB  - 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.
ER  -