Title: Three Cycles: Housing, Credit and Real Activity

Author(s): Deniz Igan, Alain Kabundi, Francisco Nadal De Simone, Marcelo Pinheiro, and Natalia Tamirisa

Date of Publication: January 2010

Abstract
 
We examine the characteristics and comovement of cycles in house prices, credit, real activity and interest rates in advanced economies during the past 25 years, using a dynamic generalised factor model. House price cycles generally lead credit and business cycles over the long term, while in the short to medium run the relationship varies across countries. Interest rates tend to lag other cycles at all time horizons. While global factors are important, the U.S. business cycle, house price cycle and interest rate cycle tend to lead the respective cycles in other countries over all time horizons. However, the U.S. credit cycle leads mostly over the long term.