Terms-of-trade and house price fluctuations : a cross-country study / by Paul Corrigan. : FB3-5/2017-1E-PDF

"Terms-of-trade shocks are known to be key drivers of business cycles in open economies. This paper argues that terms-of-trade shocks were also important for house price fluctuations in a panel of developed countries over the 1994–2015 period. In a panel vector error-correction model of house prices, household debt and real tradable prices, terms-of-trade shocks explain between 16 and 41 per cent of the long-run variance in house price growth in a typical country, and from 45 to 85 per cent of the long-run variance of the ratio of house prices to non-housing consumption. Most of the variation in the house price/consumption ratio is associated with changes in real import prices, with idiosyncratic shocks to real export prices playing a minor role. On average, a permanent 1 per cent decline in real import prices raises the ratio of real house prices to non-housing consumption by about 0.9 per cent"--Abstract, p. ii.

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Renseignements sur la publication
Ministère/Organisme Bank of Canada.
Titre Terms-of-trade and house price fluctuations : a cross-country study / by Paul Corrigan.
Titre de la série Bank of Canada staff working paper, 1701-9397 ; 2017-1
Type de publication Série - Voir l'enregistrement principal
Langue [Anglais]
Format Électronique
Document électronique
Note(s) "January 2017."
Includes bibliographical references (p. 27-31).
Includes abstract in French.
Information sur la publication [Ottawa] : Bank of Canada, 2017.
Auteur / Contributeur Corrigan, Paul R. (Paul Richard), 1976-
Description iii, 40 p. : charts (some in col.)
Numéro de catalogue
  • FB3-5/2017-1E-PDF
Descripteurs Housing
Prices
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