Out of Sync Subnational Housing Markets and Macroprudential Policies

Funke, Michael; Mihaylovski, Petar; Wende, Adrian

doi:10.2139/ssrn.3157436

Cited by 1 publication

(2 citation statements)

References 40 publications

(57 reference statements)

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“…Similar finding was supported byFunke et al (2018) who suggest that regionally differentiated macroprudential policy such as regional loan-to-value ratios perform best in reducing variance of housing prices in an environment with regionally segmented housing markets.…”

supporting

confidence: 71%

“…In contrast, Miles (2017) and Tsai (2018) find a relative lack of such synchronization in international housing markets. Further, there is evidence that even within a country the housing market may not be fully integrated (see, Miles (2015) and Hernández-Murillo et al (2017) for the U.S., Hiebert and Roma (2010) for Europe and the U.S., Klarl (2018) for Netherlands and Funke et al (2018) for the U.K. housing market. ).…”

Section: Introductionmentioning

confidence: 99%

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(A)Synchronous Housing Markets of Global Cities

Bhatt

Kishor

2022

J Real Estate Finan Econ

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In this paper we examine house price synchronization in 15 global cities using real house price data from 1995:Q1-2020:Q2. We find that although there is evidence for bilateral positive phase synchronization, there is no evidence for an integrated global housing market for our sample of cities. Using a hierarchical clustering approach, we identify three clusters of cities with similar housing price cycles that are not solely determined by geographic proximity. We interpret this finding as suggestive of a rather segmented housing market for the global cities in our sample. Using a dynamic factor model with time-varying stochastic volatility we decompose a city's real housing price growth into a global component, a clusterbased component, and an idiosyncratic component. For most cities in our sample, the global component plays a minor role, whereas the cluster-based factor explains a large fraction of the observed variation in real house price growth with its contribution peaking during the Great Recession of 2007-09.

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confidence: 71%