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Contents
List of Figures viii
List of Tables x
Introduction 1
1. House Prices and the Macroeconomy: Overview 5
Part I. House Prices and Economic Activity 17
2. House Prices as Predictors of Consumer Price Inflation? 19
3. Financial Conditions Indices 35
4. The Phillips curve, the IS curve, and
Monetary Transmission 55
5. Goods and Asset Price Deflations 69
Part II. House Prices and Financial Stability 87
6. House Prices and Bank Credit 89
7. Bank Regulation and Macroeconomic Fluctuations 115
8. Default, Credit Growth and Asset Prices 145
Part III. Implications of House Price Fluctuations
For Public Policy 173
9. What Role for House Prices in the Measurement of Inflation? 175
10. A Second Central Bank Instrument? 195
11. House Price Fluctuations and Public Policy 203
References 211
Index 225
vii
List of Figures
1.1. House prices and economic activity, 1980–2004 7
1.2. House prices and the household debt, 1980–2004 11
1.3. House prices and the financial system, 1980–2004 14
3.1. Asset price movements in the G7 countries, 1972–1998 38
3.2. Impulse responses of the output gap and CPI inflation to asset price
shocks 45
3.3. Impulse responses of asset prices to interest rate shocks 47
3.4. Financial Conditions Indices for the G7, 1972–1999 49
3.5. Dynamic correlations of the reduced-form-based FCI with future
inflation 50
3.6. Dynamic correlations of the VAR-based FCI with future inflation 51
3.7. Impulse responses of inflation to FCI shocks 52
5.1. Actual inflation and expected inflation, 1873–1913 72
5.2. Time-varying inflation persistence in the UK, 1947:1–2002:3 74
6.1. Property prices in industrialized countries, 1980–1998 96
6.2. Credit-to-GDP ratios and property prices in industrialized countries,
1980–1998 97
6.3. Impulse responses of credit in industrialized countries, 1980–1998 109
7.1. Financial crisis frequency, 1880–1997 118
7.2. Post-liberalization cycles 130
7.3. Increasing sensitivity of bank lending to property prices,
mid-1980s–2001 133
7.4. Development of capital-to-asset ratio, regulatory capital and
risk-weighted assets in the US, 1990–2003 134
7.5. Economic activity and credit creation in the US, 1965–2004 135
7.6. The US prime lending rate and the federal funds rate, 1980–2004 136
7.7. CARs for the USA, 1982–2003 140
7.8. CARs for Norway, 1989–2002 141
7.9. CARs for Mexico, 1995–1999 142
8.1. Dynamic interaction between credit and asset prices 152
viii
8.2. Credit dynamics 155
8.3. Asset price dynamics 156
8.4. GDP dynamics 157
9.1. Consumer prices, 1985–1999 180
9.2. Percentage changes in consumer prices, 1986–1999 180
9.3. Share prices, 1985–1999 181
9.4. Housing prices, 1985–1998 182
9.5. Real Gross Domestic Product, 1985–1999 183
9.6. Percentage changes in real Gross Domestic Product, 1986–1999 183
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