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Debt vulnerabilities and house price responses to external shocks

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  • Lim, Hyunjoon

Abstract

This paper investigates whether the responses of house prices to external shocks, including US monetary policy and global geopolitical risk shocks vary, depending on country-specific vulnerabilities. We find that the responses of emerging market economies’ housing prices to both US monetary policy shocks and geopolitical risk shocks are higher in magnitude and duration than those of advanced economies. We also demonstrate that emerging market economies’ housing price responses to both shocks are much more robust in more vulnerable economies. In contrast, advanced economies’ responses are relatively less affected by debt level.

Suggested Citation

  • Lim, Hyunjoon, 2024. "Debt vulnerabilities and house price responses to external shocks," Finance Research Letters, Elsevier, vol. 63(C).
    • Handle: RePEc:eee:finlet:v:63:y:2024:i:c:s1544612324004197
    DOI: 10.1016/j.frl.2024.105389
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    References listed on IDEAS

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    More about this item

    Keywords

    US monetary policy shocks; Geopolitical risk shocks; House prices; Local projection approach;
    All these keywords.

    JEL classification:

    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics
    • R21 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Household Analysis - - - Housing Demand

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