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Author: Michael Flor
Publisher:
ISBN:
Category :
Languages : en
Pages : 37
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Book Description
This paper is mainly concerned with the analysis of regional house price cycles. Based on a newly available data set consisting of the 40 largest U.S. Metropolitan Statistical Areas (MSAs), we introduce a wavelet transform based metric to study the housing cycle synchronization across MSAs. We derive several conclusions: (i) We show that regional housing cycle dissimilarities are significantly and strongly connected to geography. (ii) We show that U.S. regional housing cycles are considerably shorter compared to business cycles. (iii) By employing statistical methods, we also show that regional housing prices significantly converge after the bursting of the bubble only at higher business cycle frequencies, whereas for lower business cycle frequencies this is not the case. This is a notable result, because it directly implies that housing cycles behavior is different even at the business cycle.
Author: Michael Flor
Publisher:
ISBN:
Category :
Languages : en
Pages : 37
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Book Description
This paper is mainly concerned with the analysis of regional house price cycles. Based on a newly available data set consisting of the 40 largest U.S. Metropolitan Statistical Areas (MSAs), we introduce a wavelet transform based metric to study the housing cycle synchronization across MSAs. We derive several conclusions: (i) We show that regional housing cycle dissimilarities are significantly and strongly connected to geography. (ii) We show that U.S. regional housing cycles are considerably shorter compared to business cycles. (iii) By employing statistical methods, we also show that regional housing prices significantly converge after the bursting of the bubble only at higher business cycle frequencies, whereas for lower business cycle frequencies this is not the case. This is a notable result, because it directly implies that housing cycles behavior is different even at the business cycle.
Author: Adrian Alter
Publisher: International Monetary Fund
ISBN: 1484385691
Category : Business & Economics
Languages : en
Pages : 42
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Book Description
We examine the relationship between house price synchronicity and global financial conditions across 40 countries and about 70 cities over the past three decades. The role played by cross-border banking flows in residential property markets is examined as well. Looser global financial conditions are associated with greater house price synchronicity, even after controlling for bilateral financial integration. Moreover, we find that synchronicity across major cities may differ from that of their respective countries’, perhaps due to the influence of global investors on local house price dynamics. Policy choices such as macroprudential tools and exchange rate flexibility appear to be relevant for mitigating the sensitivity of domestic housing markets to the rest of the world.
Author: Mitsuru Katagiri
Publisher: International Monetary Fund
ISBN: 1484378245
Category : Business & Economics
Languages : en
Pages : 28
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Book Description
This paper investigates the developments in house price synchronization across countries by a dynamic factor model using a country- and city-level dataset, and examines what drives the synchronization. The empirical results indicate that: (i) the degree of synchronization has been rising since the 1970s, and (ii) a large heterogeneity in the degree of synchronization exists across countries and cities. A panel and cross-sectional regression analysis show that the heterogeneity of synchronization is partly accounted for by the progress in financial and trade openness. Also, the city-level analysis implies that the international synchronization is mainly driven by the city-level connectivity between large and international cities.
Author: Samya Beidas-Strom
Publisher: International Monetary Fund
ISBN: 1451874332
Category : Business & Economics
Languages : en
Pages : 31
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Book Description
This paper examines housing finance and housing price dynamics in selected emerging Middle Eastern economies over the past two decades. It finds that (i) mortgage markets have experienced rapid development, which has led to lower private per capita consumer spending volatility this decade; (ii) a downward price correction occurred in the housing market after 2007, which appears to have bottomed out; (iii) the rental market appears to be largely determined by region-specific economic fundamentals-a youthful working-age population and wealth variables; and (iv) a segregation between self-owned house and rental price dynamics exists in this region, rendering the former more sensitive to the business cycle.
Author: Ms.Deniz Igan
Publisher: International Monetary Fund
ISBN: 1475505671
Category : Business & Economics
Languages : en
Pages : 56
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Book Description
Housing cycles and their impact on the financial system and the macroeconomy have become the center of attention following the global financial crisis. This paper documents the characteristics of housing cycles in a large set of countries, and examines the determinants of house price movements. Empirical analysis shows that house price dynamics are mostly driven by income and demographics but fluctuations in these fundamentals and credit conditions can create deviations from the implied equilibrium path. We conclude with a discussion of the macroeconomic implications of house price corrections.
Author: David Gray
Publisher: Springer
ISBN: 3319633481
Category : Business & Economics
Languages : en
Pages : 199
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Book Description
This book uses empirical research to examine fluctuations and periodicities in housing markets in the United Kingdom. Chapters investigate received wisdom on housing market co-determination before exploring an unconventional approach to analysing the interaction and diffusion evidence base. Finally, the author presents varied case studies, analysing price diffusion across first-time and repeat buyer groups, regions and housing vintages, as well as related macro variables. This volume will be of interest to academics and researchers interested in the area of price diffusion across housing markets.
Author: Gilles Duranton
Publisher: Elsevier
ISBN: 0444595392
Category : Business & Economics
Languages : en
Pages : 2064
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Book Description
Developments in methodologies, agglomeration, and a range of applied issues have characterized recent advances in regional and urban studies. Volume 5 concentrates on these developments while treating traditional subjects such as housing, the costs and benefits of cities, and policy issues beyond regional inequalities. Contributors make a habit of combining theory and empirics in each chapter, guiding research amid a trend in applied economics towards structural and quasi-experimental approaches. Clearly distinguished from the New Economic Geography covered by Volume 4, these articles feature an international approach that positions recent advances within the discipline of economics and society at large. Emphasizes advances in applied econometrics and the blurring of "within" and "between" cities Promotes the integration of theory and empirics in most chapters Presents new research on housing, especially in macro and international finance contexts
Author: Gilles Duranton
Publisher: Elsevier
ISBN: 0444595406
Category : Business & Economics
Languages : en
Pages : 967
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Book Description
Developments in methodologies, agglomeration, and a range of applied issues have characterized recent advances in regional and urban studies. Volume 5 concentrates on these developments while treating traditional subjects such as housing, the costs and benefits of cities, and policy issues beyond regional inequalities. Contributors make a habit of combining theory and empirics in each chapter, guiding research amid a trend in applied economics towards structural and quasi-experimental approaches. Clearly distinguished from the New Economic Geography covered by Volume 4, these articles feature an international approach that positions recent advances within the discipline of economics and society at large. Editors are recognized as leaders and can attract an international list of contributors Regional and urban studies interest economists in many subdisciplines, such as labor, development, and public economics Table of contents combines theoretical and applied subjects, ensuring broad appeal to readers
Author: Yanan Zhang
Publisher: International Monetary Fund
ISBN: 1455201782
Category : Business & Economics
Languages : en
Pages : 31
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Book Description
This paper studies the impact of housing market cycles on loss given default (LGD). Previous studies have shown that the current loan-to-value ratio (CLTV) is the most important determinant of LGD. This paper establishes another linkage which is between the house price cycles before the time of mortgage origination and LGD. The empirical analysis is based on a large loan-level sub-prime residential mortgage loss dataset from 1998 to 2009. Results show that house price history has a long memory in explaining LGD. Its explanatory power far exceeds the original LTV and other loan characteristics. This paper offers a countercyclical view of LGD risk. The model can be combined with a default probability model to serve as a regulatory prudential tool. Such a tool provides a solution to the inherent procyclical bias in BASEL II capital requirements, and can contribute to the safety and soundness of banking institutions.
Author:
Publisher:
ISBN:
Category : Housing
Languages : en
Pages : 1430
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Book Description
