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Has higher household indebtedness weakened monetary policy transmission?

Gelos, Gaston; Grinberg, Federico; Mancini Griffoli, Tommaso - 2019

Has monetary policy in advanced economies been less effective since the global financial crisis because of deteriorating household balance sheets? This paper examines the question using household data from the United States. It compares the responsiveness of household consumption to monetary...

Persistent link: https://www.econbiz.de/10012001512

The costs of macroprudential deleveraging in a liquidity trap

Chen, Jiaqian; Finocchiaro, Daria; Lindé, Jesper; … - 2020

We examine the effects of various borrower-based macroprudential tools in a New Keynesian environment where both real and nominal interest rates are low. Our model features long-term debt, housing transaction costs and a zero-lower bound constraint on policy rates. We find that the long-term...

Persistent link: https://www.econbiz.de/10012251966

Predicting downside risks to house prices and macro-financial stability

Deghi, Andrea; Katagiri, Mitsuru; Shahid, Sohaib; … - 2020

This paper predicts downside risks to future real house price growth (house-prices-at-risk or HaR) in 32 advanced and emerging market economies. Through a macro-model and predictive quantile regressions, we show that current house price overvaluation, excessive credit growth, and tighter...

Persistent link: https://www.econbiz.de/10012252738

Cointegration of International Stock Market Indices

Chou, Ray Yeutien - 1994

In this paper, we derive evidence on the integration of international stock markets from the cointegration properties … of international stock market prices. Using the multivariate cointegration test of Johansen, we find that the set of six … subgroup analyses also indicate that the cointegration relationships have become stronger over time. This is consistent with …

Persistent link: https://www.econbiz.de/10014395829

Testing for Purchasing Power Parity in Cointegrated Panels

Lyhagen, Johan - 2007

This paper applies the maximum likelihood panel cointegration method of Larsson and Lyhagen (2007) to test the strong … contrasted to those from the Pedroni (1995) cointegration tests and fully modified OLS and dynamic OLS esimators of the …

Persistent link: https://www.econbiz.de/10014401245

Real Exchange Rate Misalignment : A Panel Co-Integration and Common Factor Analysis

Yehoue, Etienne B. - 2005

We combine some newly developed panel co-integration techniques and common factor analysis to analyze the behavior of …

Persistent link: https://www.econbiz.de/10014404212

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

2015 - Cesa-Bianchi, Ambrogio ; Cespedes, Luis Felipe ; Rebucci, Alessandro ed

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...

Persistent link: https://www.econbiz.de/10014411931

Are House Prices Rising too Fast in China?

Ahuja, Ashvin - 2010

Sharp increase in house prices combined with the extraordinary Chinese lending growth during 2009 has led to concerns of an emerging real estate bubble. We find that, for China as a whole, the current levels of house prices do not seem significantly higher than would be justified by underlying...

Persistent link: https://www.econbiz.de/10014412198

Global House Price Fluctuations : Synchronization and Determinants

Hirata, Hideaki - 2013

We examine the properties of house price fluctuations across 18 advanced economies over the past 40 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...

Persistent link: https://www.econbiz.de/10014395408

Macroprudential Policies and Housing Price : A New Database and Empirical Evidence for Central, Eastern, and Southeastern Europe

Vandenbussche, Jerome - 2012

Several countries in Central, Eastern and Southeastern Europe used a rich set of prudential instruments in response to last decade’s credit and housing boom and bust cycles. We collect detailed information on these policy measures in a comprehensive database covering 16 countries at a...

Persistent link: https://www.econbiz.de/10014395481