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

Abstract
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
Table Of Contents
Cover -- Contents -- Abstract -- I. Introduction -- II. Econometric Specification and Data -- A. A Dynamic Factor Model and Synchronization Measure -- B. Data -- III. Estimation Results -- A. Developments in Synchronization of House Prices -- B. What Drives the Synchronization of House Prices? -- IV. Concluding Remarks -- TABLES -- 1. Estimation Result for the Panel Regression -- 2. Estimation Results for the Cross Sectional Regression -- FIGURES -- 1. Individual House Price Growth and the Global Factor -- 2. Developments in Synchronization of House Prices -- 3. Synchronization of House Prices by Country (1971: Q1-) -- 4. Contribution of Global Factor in House Price Growth -- 5. Synchronization of House Prices by Country (2002: Q1-) -- 6. Contribution of Global and Regional Factors in Asian House Price Growth -- 7. Global Factor for the City-Level Data and the Country-Level Data -- 8. Contribution of Global and Regional Factors in Selected Cities -- 9. House Price Synchronization and Financial Openness -- APPENDIX -- 1. Data Sources and Country Coverage -- References
Language
eng
Literary Form
non fiction
Physical Description
1 online resource (29 pages)
Specific Material Designation
remote
Form Of Item
online
Isbn
9781484379578

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