House Prices, Interest Rates and Macroeconomic Fluctuations: International Evidence
House Prices, Interest Rates and Macroeconomic Fluctuations: International Evidence
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房价、利率和宏观经济波动：国际证据
DOI：
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发表时间：
2005
期刊：
影响因子：
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通讯作者：
Marco E. Terrones
中科院分区：
文献类型：
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作者：
Christopher Otrok;Marco E. Terrones
本文研究了工业国家国际房价、股票价格、利率和宏观经济总量的动态特性。虽然以前已经研究过股市收益和利率的动态，但我们使用了一个新的数据集来洞察工业化国家的房价波动，以及房价波动与金融资产收益和宏观经济总量波动之间的关系。尽管住房是典型的不可交易资产，但我们发现，在工业化国家，实际房价的增长率在很大程度上是同步或共同变动的。然后，我们表明，这种共同变动在很大程度上可能与这些国家利率的一个共同动态组成部分有关。虽然我们确认宏观经济总量(即实际产出、消费和住宅投资)存在很大程度的协动性，但我们发现几乎没有证据表明这些总量是房价波动的重要来源。相反，我们发现房价对宏观经济总量有影响。鉴于利率对工业化国家的资产价格和宏观经济波动所起的重要作用，我们使用一个已确定的VAR来检验货币政策冲击--包括国内和全球--在推动这些变量变动方面的作用。我们发现有证据表明，美国货币冲击对美国和国际房价增长的影响是强大的，但是滞后的。我们还记录了美国经济和全球经济对这些冲击的反应差异。
This paper studies the dynamic properties of international house prices, stock prices, interest rates and macroeconomic aggregates in industrial countries. While the dynamics of stock market returns and interest rates have been studied previously, we use a new dataset to gain insight into both the comovement of house price across industrial countries and the relationship between the fluctuations of house price with the fluctuations of financial asset returns and macroeconomic aggregates. Despite the fact that housing is the quintessential nontradable asset, we find a large degree of synchronization or comovement in the growth rate of real house prices in industrialized countries. We then show that much of this comovement can be related to a common dynamic component in interest rates across these countries. While we confirm the existence of a great degree of comovement in macroeconomic aggregates (namely, real output, consumption, and residential investment), we find little evidence that these aggregates are important sources of house price fluctuations. Instead, we find that house prices have an effect on macroeconomic aggregates. Given the important role that interest rates play for asset prices and macroeconomic fluctuations in industrial countries, we examine the role of monetary policy shocks--both domestic and global--in driving movement in these variables using an identified VAR augmented with our latent factors. We find evidence of a strong but delayed impact of U.S. monetary shocks on housing price growth both in the U.S. and internationally. We also document differences in the response of the U.S. economy and the global economy to these shocks.