Arbeitspapier
Terms-of-trade and house price fluctuations: A cross-country study
Terms-of-trade shocks are known to be key drivers of business cycles in open economies. This paper argues that terms-of-trade shocks were also important for house price fluctuations in a panel of developed countries over the 1994-2015 period. In a panel vector error-correction model of house prices, household debt and real tradable prices, terms-of-trade shocks explain between 16 and 41 per cent of the long-run variance in house price growth in a typical country, and from 45 to 85 per cent of the long-run variance of the ratio of house prices to non-housing consumption. Most of the variation in the house price/consumption ratio is associated with changes in real import prices, with idiosyncratic shocks to real export prices playing a minor role. On average, a permanent 1 per cent decline in real import prices raises the ratio of real house prices to non-housing consumption by about 0.9 per cent.
- Sprache
-
Englisch
- Erschienen in
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Series: Bank of Canada Staff Working Paper ; No. 2017-1
- Klassifikation
-
Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Business Fluctuations; Cycles
Money Supply; Credit; Money Multipliers
Financial Aspects of Economic Integration
Open Economy Macroeconomics
- Thema
-
Housing
Financial stability
International topics
- Ereignis
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Geistige Schöpfung
- (wer)
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Corrigan, Paul
- Ereignis
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Veröffentlichung
- (wer)
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Bank of Canada
- (wo)
-
Ottawa
- (wann)
-
2017
- DOI
-
doi:10.34989/swp-2017-1
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:41 MEZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Corrigan, Paul
- Bank of Canada
Entstanden
- 2017