European Parliament Library

Three Cycles :, Housing, Credit, and Real Activity, Natalia Tamirisa, Alain Kabundi, Deniz Igan, Francisco Nadal De Simone, Marcelo Pinheiro

We examine the characteristics and comovement of cycles in house prices, credit, real activity and interest rates in advanced economies during the past 25 years, using a dynamic generalized factor model. House price cycles generally lead credit and business cycles over the long term, while in the short to medium term the relationship varies across countries. Interest rates tend to lag other cycles at all time horizons. While global factors are important, the U.S. business cycle, house price cycle and interest rate cycle generally lead the respective cycles in other countries over all time horizons, while the U.S. credit cycle leads mainly over the long term
Table Of Contents
Cover Page; Title Page; Copyright Page; Contents; I. Introduction; II. Methodology; A. Common versus Idiosyncratic Components; B. Measures of Comovement; C. Characteristics of Cycles; III. Data and Data Transformations; A. Data; B. Unit Root Tests; 1. Unit Root Tests; C. Band-Pass Filter; 1. Filtered versus Differenced Series; 2. Variance Shares; IV. Results; A. Domestic Cycles; 2. Total Cyclical Movements of Real GDP, Credit and House Prices; 3. Cycle Characteristics; 4. Characteristics of Mortgagee Markets; 5. Correlation Coefficients for Total Cyclical Components
Literary Form
non fiction
"October 2009."
Physical Description
1 online resource (45 p.)
Specific Material Designation
Form Of Item

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