Three Cycles : Housing, Credit, and Real Activity.
Title:
Three Cycles : Housing, Credit, and Real Activity.
Author:
Tamirisa, Natalia T.
ISBN:
9781452784366
Personal Author:
Physical Description:
1 online resource (34 pages)
Series:
IMF Working Papers
Contents:
Contents -- I. Introduction -- II. Methodology -- A. Common versus Idiosyncratic Components -- B. Measures of Comovement -- C. Characteristics of Cycles -- III. Data and Data Transformations -- A. Data -- B. Unit Root Tests -- C. Band-Pass Filter -- IV. Results -- A. Domestic Cycles -- B. International Comovement of Cycles -- V. Conclusion -- Figures -- 1. Filtered versus Differenced Series -- 2. Total Cyclical Movements of Real GDP, Credit and House Prices -- 3. Total Cyclical Movements versus Common Components in Selected Countries Real GDP -- 4. Common Components for Selected Countries -- Tables -- 1. Unit Root Tests -- 2. Variance Shares -- 3. Cycle Characteristics -- 4. Characteristics of Mortgagee Markets -- 5. Correlation Coefficients for Total Cyclical Components -- 6. Leads and Lags between Cycles within Countries -- 7. Evolution of Cyclical Movements Driven by Common Components -- 8. Lead-Lag Relations between the United States and Other Countries -- Appendix: Data Coverage and Sources -- References.
Abstract:
We examine the characteristics and comovement of cycles in house prices, credit, real activity and interest rates in advanced economies during the past 25 years, using a dynamic generalized factor model. House price cycles generally lead credit and business cycles 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. While global factors are important, the U.S. business cycle, house price cycle and interest rate cycle generally lead the respective cycles in other countries over all time horizons, while the U.S. credit cycle leads mainly over the long term.
Local Note:
Electronic reproduction. Ann Arbor, Michigan : ProQuest Ebook Central, 2017. Available via World Wide Web. Access may be limited to ProQuest Ebook Central affiliated libraries.
Genre:
Electronic Access:
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