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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| Department/Agency | Bank of Canada. |
|---|---|
| Title | Terms-of-trade and house price fluctuations : a cross-country study / by Paul Corrigan. |
| Series title | Bank of Canada staff working paper, 1701-9397 ; 2017-1 |
| Publication type | Series - View Master Record |
| Language | [English] |
| Format | Electronic |
| Electronic document | |
| Note(s) | "January 2017." Includes bibliographical references (p. 27-31). Includes abstract in French. |
| Publishing information | [Ottawa] : Bank of Canada, 2017. |
| Author / Contributor | Corrigan, Paul R. (Paul Richard), 1976- |
| Description | iii, 40 p. : charts (some in col.) |
| Catalogue number |
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| Subject terms | Housing Prices |
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