Housing markets, monetary policy, and the international co‐movement of housing bubbles

We analyze whether there was co‐movement in bubbles at the international level from the mid‐1990s to 2018 using a data set of developed and emerging economies. We first identify the markets that were more prone to volatility and speculation before the crisis. Second, we determine and compare the res...

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Bibliographic Details
Published in:Review of international economics 2020-05, Vol.28 (2), p.365-375
Main Authors: Caraiani, Petre, Călin, Adrian Cantemir
Format: Article
Language:English
Subjects:
Bayesian analysis
Housing market
Monetary policy
Prone
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Summary:We analyze whether there was co‐movement in bubbles at the international level from the mid‐1990s to 2018 using a data set of developed and emerging economies. We first identify the markets that were more prone to volatility and speculation before the crisis. Second, we determine and compare the responses of bubbles in housing markets to monetary policy in a Bayesian time‐varying framework. We then study the co‐movement of bubble responses to monetary shocks before and after the crisis using a dynamic factor model. This approach allows us to disentangle a common global factor from factors specific to high/low speculative housing markets.
ISSN:0965-7576
1467-9396
DOI:10.1111/roie.12454