Author: Oguzhan CepniPublisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
The Time-varying Impact of Uncertainty Shocks on the Comovement of Regional Housing Prices of the United Kingdom
Author: Oguzhan CepniThe Impact of Uncertainty Shocks on the UK Economy
Author: MissStephanie DenisPublisher: International Monetary Fund
ISBN: 161635562X
Category : Business & Economics
Languages : en
Pages : 46
Book Description
This paper quantifies the economic impact of uncertainty shocks in the UK using data that span the recent Great Recession. We find that uncertainty shocks have a significant impact on economic activity in the UK, depressing industrial production and GDP. The peak impact is felt fairly quickly at around 6-12 months after the shock, and becomes statistically negligible after 18 months. Interestingly, the impact of uncertainty shocks on industrial production in the UK is strikingly similar to that of the US both in terms of the shape and magnitude of the response. However, unemployment in the UK is less affected by uncertainty shocks. Finally, we find that uncertainty shocks can account for about a quarter of the decline in industrial production during the Great Recession.
Time-Varying Role of Macroeconomic Shocks on House Prices in the US and UK
Author: Vasilios PlakandarasPublisher:
ISBN:
Category :
Languages : en
Pages : 50
Book Description
In this paper, we study the effect of macroeconomic shocks in the determination of house prices. Focusing on the U.S. and the U.K. housing market, we employ time-varying Vector Autoregression models using Bayesian methods covering the periods of 1830-2016 and 1845-2016 respectively. We consider real house prices, output growth, short-term interest rates and inflation as input variables in order to unveil the effect of macroeconomic shocks on house prices. From the examination of the impulse responses of house prices on macroeconomic shocks, we find that technology shocks dominate in the U.S. real estate market, while their effect is unimportant in the U.K. In contrast, monetary policy drives most of the evolution of the U.K. house prices, while transitory house supply shocks are unimportant in either country. These findings are further corroborated with the analysis of conditional volatilities and correlations to macroeconomic shocks. Overall, we are able to unveil the dynamic linkages in the relationship of the macro economy and house prices. Over time, we analyze the variations in economic events happening at the imposition of the shock and uncover characteristics missed in the time-invariant approaches of previous studies.
The Impact of Uncertainty Shocks in the United Kingdom
Author: Chris RedlGlobal House Price Fluctuations
Author: Mr.Hideaki HirataPublisher: International Monetary Fund
ISBN: 1475591608
Category : Business & Economics
Languages : en
Pages : 47
Book Description
We examine the properties of house price fluctuations across 18 advanced economies over the past 40 years. We ask two specific questions: First, how synchronized are housing cycles across these countries? Second, what are the main shocks driving movements in global house prices? To address these questions, we first estimate the global components in house prices and various macroeconomic and financial variables. We then evaluate the roles played by a variety of global shocks, including shocks to interest rates, monetary policy, productivity, credit, and uncertainty, in explaining house price fluctuations using a wide range of FAVAR models. We find that house prices are synchronized across countries, and the degree of synchronization has increased over time. Global interest rate shocks tend to have a significant negative effect on global house prices whereas global monetary policy shocks per se do not appear to have a sizeable impact. Interestingly, uncertainty shocks seem to be important in explaining fluctuations in global house prices.
Time Variation in Housing Dynamics
Author: Nicole VenusPublisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
The goal of this thesis is to examine the time-varying dynamics of the housing market in the United States, Netherlands, France and Italy. To this end, housing dynamics are analyzed in a time-varying parameter vector autoregressive model with stochastic volatility (TVP-SV-VAR). A monetary policy, housing supply, housing demand and productivity shock to the non-housing sector are identified by sign restrictions. The empirical evidence demonstrates the need to account for time variation in both coefficients and volatilities. For all countries except France, structural analysis indicates that the reaction of house prices to a monetary policy shock is weaker when property markets are bullish. In France, where no asymmetric pattern in visible, increased responsiveness appears to coincide with mortgage market liberalization. Historical decomposition suggests that monetary policy shocks only played a supporting role in the recent housing boom, whereas housing-related and productivity shocks have fueled house price growth at the turn of the millennium.
On Persistence of Uncertainty Shocks
Author: Sergey EgievThe International Transmission of Volatility Shocks
Author: Haroon MumtazPublisher:
ISBN:
Category :
Languages : en
Pages : 67
Book Description
"This paper proposes an empirical model which can be used to estimate the impact of changes in the volatility of shocks to US real activity on the UK economy. The proposed empirical model is a structural VAR where the volatility of structural shocks is time varying and is allowed to affect the level of endogenous variables. Using this extended SVAR model we estimate that a one standard deviation increase in the volatility of the shock to US real GDP leads to a decline in UK GDP growth of 0.1% and a 0.1% increase in UK CPI inflation. The authors then use a non-linear small open economy New Keynesian business cycle model calibrated to US/UK economies to investigate what kind of stochastic volatility shocks can deliver such behaviour. They find that shocks that generate marginal cost uncertainty - such as foreign wage mark-up and productivity stochastic volatility shocks - can reproduce the macroeconomic aggregate responses obtained by the empirical model. An increase in uncertainty, associated with foreign demand shocks on the other hand has a negligible impact on the domestic economy."--Abstract.
International Macroeconomics in the Wake of the Global Financial Crisis
Author: Laurent FerraraPublisher: Springer
ISBN: 3319790757
Category : Business & Economics
Languages : en
Pages : 300
Book Description
This book collects selected articles addressing several currently debated issues in the field of international macroeconomics. They focus on the role of the central banks in the debate on how to come to terms with the long-term decline in productivity growth, insufficient aggregate demand, high economic uncertainty and growing inequalities following the global financial crisis. Central banks are of considerable importance in this debate since understanding the sluggishness of the recovery process as well as its implications for the natural interest rate are key to assessing output gaps and the monetary policy stance. The authors argue that a more dynamic domestic and external aggregate demand helps to raise the inflation rate, easing the constraint deriving from the zero lower bound and allowing monetary policy to depart from its current ultra-accommodative position. Beyond macroeconomic factors, the book also discusses a supportive financial environment as a precondition for the rebound of global economic activity, stressing that understanding capital flows is a prerequisite for economic-policy decisions.
Author: Dario Bonciani