House Price Synchronization and Financial Openness: A Dynamic Factor Model Approach

September 28, 2018

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Format: Chicago

Mitsuru Katagiri. House Price Synchronization and Financial Openness: A Dynamic Factor Model Approach, (USA: International Monetary Fund, 2018) accessed November 21, 2024

Disclaimer: IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.

Summary

This paper investigates the developments in house price synchronization across countries by a dynamic factor model using a country- and city-level dataset, and examines what drives the synchronization. The empirical results indicate that: (i) the degree of synchronization has been rising since the 1970s, and (ii) a large heterogeneity in the degree of synchronization exists across countries and cities. A panel and cross-sectional regression analysis show that the heterogeneity of synchronization is partly accounted for by the progress in financial and trade openness. Also, the city-level analysis implies that the international synchronization is mainly driven by the city-level connectivity between large and international cities.

Subject: Econometric analysis, Economic sectors, Factor models, Financial crises, Housing, Housing prices, Inflation, National accounts, Prices

Keywords: Asia and Pacific, Dynamic factor model, Factor models, Financial openness, Give house price, Global, Growth in city, House price, House price synchoronization, House prices in country, House prices in the world, Housing, Housing price, Housing prices, Inflation, Price data, Price synchronization, South America, Terms of rise, Trade openness

Publication Details

Pages:

28
Volume:

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DOI:

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Issue:

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Series:

Working Paper No. 2018/209
Stock No:

WPIEA2018209
ISBN:

9781484378243
ISSN:

1018-5941

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