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Co-movement of house price cycles - a factor analysis

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  • Michael Voigtländer
  • Kirill Pomogajko

Abstract

Due to globalisation and monetary integration the macroeconomic conditions for industrial countries have become more and more equally. Based on a factor analysis we examine if the synchronisation of business cycles also affected the co-movement of house prices in OECD-countries for the period of 1990 to 2010. As it turns out, the integration of housing markets has accelerated in the last decade. We can identify a strong global factor as well as a regional factor. However, some countries like Germany, the Netherlands and Japan seem to be uncoupled from the global trend. Furthermore, the co-movement of markets with greater proximity is generally stronger. Although globalisation seems to foster the integration of housing markets, monetary integration has only a minor effect. We illustrate our results by referring to methods well-known from cluster-analysis.

Suggested Citation

  • Michael Voigtländer & Kirill Pomogajko, 2011. "Co-movement of house price cycles - a factor analysis," ERES eres2011_51, European Real Estate Society (ERES).
    • Handle: RePEc:arz:wpaper:eres2011_51
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    JEL classification:

    • R3 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location

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