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Housing markets, monetary policy, and the international co‐movement of housing bubbles
Author(s) -
Caraiani Petre,
Călin Adrian Cantemir
Publication year - 2020
Publication title -
review of international economics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.513
H-Index - 58
eISSN - 1467-9396
pISSN - 0965-7576
DOI - 10.1111/roie.12454
Subject(s) - economics , speculation , volatility (finance) , monetary policy , emerging markets , monetary economics , financial crisis , international economics , macroeconomics , financial economics
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.