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Residential Investment and Economic Activity : Evidence from the Past Five Decades

Kohlscheen, Emanuel - 2018

We analyse the evolution and main drivers of residential investment, using a panel with quarterly data for 15 advanced economies since the 1970s. Residential investment is a notably volatile component of real GDP in all countries in the sample. We find real house price growth, net migration...

Persistent link: https://www.econbiz.de/10012917180

Determinants of House Prices in Central and Eastern Europe

Égert, Balázs; Mihaljek, Dubravko - 2013

This paper studies the determinants of house prices in eight transition economies of central and eastern Europe (CEE) and 19 OECD countries. The main question addressed is whether the conventional fundamental determinants of house prices, such as GDP per capita, real interest rates, housing...

Persistent link: https://www.econbiz.de/10014224160

The Causal Effect of House Prices on Mortgage Demand and Mortgage Supply : Evidence from Switzerland

Basten, Christoph - 2016

We identify the causal effect of house prices on mortgage demand and supply in Switzerland by exploiting exogenous shocks to immigration and thereby to house prices. Detailed micro data on individual requests and offers allow to close down possible other channels. We find that within the same...

Persistent link: https://www.econbiz.de/10012995805

Housing Prices, Mortgage Interest Rates and the Rising Share of Capital Income in the United States

La Cava, Gianni - 2016

Piketty (2014) documents how the share of aggregate income going to capital in the United States has risen in the post … of the secular rise in the share of housing capital income (or 'rental income') in the US economy. I first decompose the … factors that could explain housing capital income, such as interest rates, housing prices and income growth.The analysis shows …

Persistent link: https://www.econbiz.de/10012986259

Interest Rates and House Prices in the United States and Around the World

Sutton, Gregory D. - 2017

This paper estimates the response of house prices to changes in short- and long-term interest rates in 47 advanced and emerging market economies. We use data that statistical authorities selected as their best house price series, covering almost half a century of quarterly observations for the...

Persistent link: https://www.econbiz.de/10012945708

Investor Redemptions and Fund Manager Sales of Emerging Market Bonds : How are They Related?

Shek, Jimmy - 2015

Lending to emerging market economies (EMEs) through bond purchases has surged since 2009. What are the risks of a sudden stop? Bond mutual funds may curtail credit through two channels. The first is redemptions by ultimate investors. The second is additional discretionary sales by fund managers,...

Persistent link: https://www.econbiz.de/10013016995

Asset Prices and Monetary Policy : Booms and Fat Tails in East Asia

Gochoco‐Bautista, Maria Socorro - 2013

Do housing and equity booms significantly raise the probability of extremely bad outcomes at the margin? This study addresses this question for a group of 8 East Asian countries. The main findings are the following: (i) Asset price booms in housing and equity markets, either separately or...

Persistent link: https://www.econbiz.de/10014218887

Redemption Risk and Cash Hoarding by Asset Managers

Morris, Stephen - 2017

Open-end mutual funds face redemptions by investors, but the sale of the underlying assets depends on the portfolio decision of asset managers. If asset managers use their cash holding as a buffer to meet redemptions, they can mitigate fire sales of the underlying asset. If they hoard cash in...

Persistent link: https://www.econbiz.de/10012964215

Scarcity Effects of QE : A Transaction-Level Analysis in the Bund Market

Schlepper, Kathi - 2017

This paper investigates the scarcity effects of quantitative easing (QE) policies, drawing on intra-day transaction-level data for German government bonds, purchased under the public sector purchase program (PSPP) of the ECB/Eurosystem. This paper is the first to match high-frequency QE purchase...

Persistent link: https://www.econbiz.de/10012958897

International Portfolio Rebalancing and Exchange Rate Fluctuations in Thailand

Gyntelberg, Jacob; Loretan, Mico; Subhanij, Tientip; … - 2009

We present empirical evidence that the Thai exchange rate is driven in part by international investors' cross-border portfolio rebalancing decisions. Our results are based on two comprehensive, daily-frequency datasets of foreign exchange and equity market capital flows undertaken by nonresident...

Persistent link: https://www.econbiz.de/10014204547