Housing, credit, and real activity cycles: Characteristics and comovement

被引：42

作者：

Igan, Deniz ^{[2
]}

Kabundi, Alain ^{[1
]}

De Simone, Francisco Nadal ^{[3
]}

Pinheiro, Marcelo ^{[4
]}

Tamirisa, Natalia ^{[2
]}

机构：

[1] Univ Johannesburg, Dept Econ, ZA-2006 Johannesburg, South Africa

[2] Int Monetary Fund, Res Dept, Washington, DC 20431 USA

[3] Cent Bank Luxemburg, L-3392 Roedgen, Luxembourg

[4] George Mason Univ, Dept Finance, Fairfax, VA 22030 USA

来源：

JOURNAL OF HOUSING ECONOMICS | 2011年 / 20卷 / 03期

关键词：

Macro-financial linkages; House prices; Credit; Business cycle; MONETARY-POLICY; BLACK-BOX; BUSINESS; ARBITRAGE; TRADE; MODEL; US;

D O I：

10.1016/j.jhe.2011.07.002

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper describes the characteristics and comovement of cycles in house prices, residential investment, credit, interest rates, and real activity in advanced economies during the past 25 years. Stylized facts and regularities are uncovered using a dynamic generalized factor model and spectral techniques. House price cycles are found to lead credit and real activity over the long term, while in the short to medium term the relationship varies across countries. Interest rates tend to lag other cycles at all time horizons. Although global factors are important, the US business cycle, housing cycle and interest rate cycle generally lead the respective cycles in other countries over all time horizons, while the US credit cycle leads mainly over the long term. (C) 2011 Elsevier Inc. All rights reserved.

引用

页码：210 / 231

页数：22