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Global Liquidity, House Prices, and the Macroeconomy: Evidence from Advanced and Emerging Economies

인도ㆍ남아시아 일반 / 동남아시아 일반 / 러시아ㆍ유라시아 일반 / 아프리카ㆍ 중동 일반 / 중남미 일반 / 중동부유럽 일반 국외연구자료 기타 Ambrogio Cesa-Bianchi ; Luis Felipe Cespedes ; Alessandro Rebucci IMF 발간일 : 2015-01-29 등록일 : 2015-02-02 원문링크

Abstract

In this paper we first compare house price cycles in advanced and emerging economies using a new quarterly house price data set covering the period 1990-2012. We find that house prices in emerging economies grow faster, are more volatile, less persistent and less synchronized across countries than in advanced economies. We also find that they correlate with capital flows more closely than in advanced economies. We then condition the analysis on an exogenous change to a particular component of capital flows. We find that a global liquidity shock, identified by aggregating bank-to-bank cross border flows and by using the external instrumental variable approach of Stock and Watson (2012) and Mertens and Ravn (2013), has a much stronger impact on house prices and consumption in emerging markets than in advanced economies. In our empirical model, holding house prices or the exchange rate constant in response to this shock tends to dampen its effects on consumption in emerging economies.

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