Current account patterns and national real estate markets

Aizenman, Joshua; Jinjarak, Yothin

doi:10.1016/j.jue.2009.05.002

Cited by 167 publications

(34 citation statements)

References 46 publications

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“…They nd that these periods are associated with a real exchange rate appreciation and booms in equity and house prices. Aizenman and Jinjarak (2009) show that there is a negative relationship between the size of current account surpluses and the change in real house prices in a broad sample of developed and developing countries. In a recent speech, Bernanke (2010) also makes the point that house prices increase by more in countries with larger increases in capital in ows and suggests that this would be a promising avenue for explaining cross-country differences in house price growth.…”

Section: Introductionmentioning

confidence: 92%

Low Interest Rates and Housing Booms: The Role of Capital Inflows, Monetary Policy and Financial Innovation

2011

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A number of OECD countries experienced an environment of low interest rates and a rapid increase in housing market activity during the last decade. Previous work suggests three potential explanations for these events: expansionary monetary policy, capital inflows due to a global savings glut and excessive financial innovation combined with inappropriately lax financial regulation. In this study we examine the effects of these three factors on the housing market. We estimate a panel VAR for a sample of OECD countries and identify monetary policy and capital inflows shocks using sign restrictions. To explore how these effects change with the structure of the mortgage market and the degree of securitisation, we augment the VAR to let the coefficients vary with mortgage market characteristics. Our results suggest that both types of shocks have a significant and positive effect on real house prices, real credit to the private sector and real residential investment. The responses of housing variables to both types of shocks are stronger in countries with more developed mortgage markets, roughly doubling the responses to a monetary policy shock. The amplification effect of mortgage-backed securitisation is particularly strong for capital inflows shocks, increasing the response of real house prices, residential investment and real credit by a factor of two, three and five, respectively.

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Section: Introductionmentioning

confidence: 92%

Low Interest Rates and Housing Booms: The Role of Capital Inflows, Monetary Policy and Financial Innovation

2011

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“…Mankiw and Weil (1989) and Choi and Jung (2016) study the effects of population structure on the housing market. Aizenman andJinjarak (2009), Favilukis et al (2012) and Ferrero (2015) study the relationship between current account deficit, international capital flow and housing price. Benson et al (1999) study the effects of exchange rate movements on the housing price.…”

Section: Demand Sidementioning

confidence: 99%

Household Debt and Housing Price: An Empirical Study across 36 Countries

Lai¹,

Chan²,

Shum³

et al. 2017

IJBM

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This paper investigates the effect of the change of household debt ratio (household debt to GDP) on national housing price by using unbalanced panel data in 36 countries during 1981-2015. We employ Two Stage Least Square and GMM method to analyze the fixed effect model, after controlling the demand, supply, other assets prices and endogeneity. Our findings are that household debt ratio and housing price are positively significantly related. Household debt ratio promotes the growth rate of housing prices. The findings remain robust by separating countries into two groups, European countries and non-European countries, and using nominal housing price as explanatory variable.

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“…There are some other variables used to capture financial excess in the literature. Fratzscher and Straub (2009), for instance, use asset price booms, where Adam et al (2011) and Aizenman and Jinjarak (2009) employ house prices. Kraay and Ventura (2007) focus on stock market variables.…”

Section: Introductionmentioning

confidence: 99%