TY - BOOK ID - 84874339 TI - Global Liquidity, House Prices, and the Macroeconomy : Evidence from Advanced and Emerging Economies AU - Cesa-Bianchi, Ambrogio. AU - Céspedes, Luis. AU - Rebucci, Alessandro. PY - 2015 SN - 149838482X 1498312667 PB - Washington, D.C. : International Monetary Fund, DB - UniCat KW - Housing KW - Business cycles. KW - Capital movements. KW - International liquidity. KW - Balance of payments KW - International finance KW - Liquidity (Economics) KW - Capital flight KW - Capital flows KW - Capital inflow KW - Capital outflow KW - Flight of capital KW - Flow of capital KW - Movements of capital KW - Foreign exchange KW - Economic cycles KW - Economic fluctuations KW - Cycles KW - Affordable housing KW - Homes KW - Houses KW - Housing needs KW - Residences KW - Slum clearance KW - Urban housing KW - City planning KW - Dwellings KW - Human settlements KW - Prices KW - Social aspects KW - Developed countries KW - Advanced countries KW - Advanced nations KW - Developed nations KW - Economically advanced countries KW - Economically advanced nations KW - First World KW - Industrial countries KW - Industrial nations KW - Industrial societies KW - Industrialized countries KW - Industrialized nations KW - Western countries KW - Prices. KW - Finance: General KW - Foreign Exchange KW - Inflation KW - Macroeconomics KW - Real Estate KW - Housing Supply and Markets KW - Portfolio Choice KW - Investment Decisions KW - Macroeconomics: Consumption KW - Saving KW - Wealth KW - Price Level KW - Deflation KW - Property & real estate KW - Finance KW - Currency KW - Housing prices KW - International liquidity KW - Consumption KW - Exchange rates KW - Asset and liability management KW - National accounts KW - Economics KW - United States UR - https://www.unicat.be/uniCat?func=search&query=sysid:84874339 AB - In this paper we first compare house price cycles in advanced and emerging economies using a new quarterly house price data set covering the period 1990-2012. We find that house prices in emerging economies grow faster, are more volatile, less persistent and less synchronized across countries than in advanced economies. We also find that they correlate with capital flows more closely than in advanced economies. We then condition the analysis on an exogenous change to a particular component of capital flows. We find that a global liquidity shock, identified by aggregating bank-to-bank cross border flows and by using the external instrumental variable approach of Stock and Watson (2012) and Mertens and Ravn (2013), has a much stronger impact on house prices and consumption in emerging markets than in advanced economies. In our empirical model, holding house prices or the exchange rate constant in response to this shock tends to dampen its effects on consumption in emerging economies. ER -