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World Economic Outlook, April 2008
World Economic Outlook Housing and the Business Cycle
World Economic Outlook
Housing and the
Business Cycle
World Economic and Financial Surveys
INTERNATIONAL MONETARY FUND
08
APR
IMF
APR
08
WORLD ECONOMIC OUTLOOK
April 2008
Housing and the Business Cycle
International Monetary Fund
World Economic and Financial Surveys
©2008 International Monetary Fund
Production: IMF Multimedia Services Division
Cover and Design: Luisa Menjivar and Jorge Salazar
Figures: Theodore F. Peters, Jr.
Typesetting: Choon Lee
Cataloging-in-Publication Data
World economic outlook (International Monetary Fund)
World economic outlook : a survey by the staff of the International Monetary
Fund. — Washington, DC : International Monetary Fund, 1980–
v. ; 28 cm. — (1981–1984: Occasional paper / International Monetary Fund,
0251-6365). — (1986– : World economic and financial surveys, 0256-6877)
Semiannual.
Has occasional updates, 1984–
1. Economic history, 1971–1990 — Periodicals. 2. Economic history, 1990– —
Periodicals. I. International Monetary Fund. II. Series: Occasional paper
(International Monetary Fund). III. Series: World economic and financial
surveys.
HC10.W7979 84-640155 338.5’443’09048—dc19
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iii
CONTENTS
Assumptions and Conventions viii
Preface x
Foreword xi
Executive Summary xiv
Chapter 1. Global Prospects and Policies 1
Overview of Recent Developments and Prospects: Divergence but Not Decoupling 1
Financial Market Turbulence: Rocky Ride for the Advanced Economies 4
Can Emerging and Developing Economies Decouple? 22
Outlook and Risks for the Global Economy 30
Policy Challenges in a Multipolar World 38
Appendix 1.1. Implications of New PPP Estimates for Measuring Global Growth 43
Appendix 1.2. Commodity Market Developments and Prospects 46
References 62
Chapter 2. Country and Regional Perspectives 65
United States and Canada: How Long Will the Slowdown Last? 65
Western Europe: Can a Sharp Slowdown Be Averted? 75
Advanced Asia: How Resilient Is Growth in Japan to a Global Slowdown? 78
Emerging Asia: Strong Internal Momentum, but Rising Risks from Spillovers 80
Latin America and the Caribbean: Facing a Cold North Wind 82
Emerging Europe: Adjusting to a Rougher External Environment 85
Commonwealth of Independent States: Containing Infl ation Remains the
Central Challenge 88
Sub-Saharan Africa: Strong Growth Prospects, but Risks Remain 94
Middle East: Infl ation Is a Growing Concern 97
References 99
Chapter 3. The Changing Housing Cycle and the Implications for Monetary Policy 103
Developments in Housing Finance 104
The Housing Sector and the Business Cycle 107
Housing Finance and Spillovers from Housing 110
Housing Finance and Housing as a Transmission Channel for Monetary Policy 117
Should Changes in the Housing Cycle Affect the Conduct of Monetary Policy? 122
Conclusions 126
Appendix 3.1. Data and Methodology 128
References 130
CONTENTS
iv
Chapter 4. Climate Change and the Global Economy 133
How Will Climate Change Affect Economies? 134
How Can Countries Best Adapt to Climate Change? 147
How Can Countries Effectively and Effi ciently Mitigate Climate Change? 155
Conclusions 173
Appendix 4.1. The G-Cubed Model, Baseline Assumptions, and Other Models in
the Climate Change Literature 175
References 184
Chapter 5. Globalization, Commodity Prices, and Developing Countries 191
Commodity Prices and Patterns of Integration 197
Globalization and Commodity Price Cycles 205
Explaining the Patterns 210
Conclusions 213
Appendix 5.1. Data and Methodology 215
References 220
Annex: IMF Executive Board Discussion of the Outlook, March 2008 223
Statistical Appendix 229
Assumptions 229
What’s New 232
Data and Conventions 232
Classifi cation of Countries 234
General Features and Composition of Groups in the World Economic
Outlook Classifi cation 236
List of Tables 240
Output (Tables A1–A4) 241
Infl ation (Tables A5–A7) 249
Financial Policies (Table A8) 255
Foreign Trade (Table A9) 256
Current Account Transactions (Tables A10–A12) 258
Balance of Payments and External Financing (Tables A13–A15) 264
Flow of Funds (Table A16) 268
Medium-Term Baseline Scenario (Table A17) 272
World Economic Outlook and Staff Studies for the World Economic Outlook, Selected Topics 273
Boxes
1.1 Is There a Credit Crunch? 9
1.2 Depreciation of the U.S. Dollar: Causes and Consequences 18
1.3 Multilateral Consultation on Global Imbalances: Progress Report 27
1.4 Dollar Depreciation and Commodity Prices 48
1.5 Why Hasn’t Oil Supply Responded to Higher Prices? 53
1.6 Oil Price Benchmarks 58
2.1 When Does Fiscal Stimulus Work? 70
CONTENTS
v
2.2 Petrodollars and Bank Lending to Emerging Markets 89
3.1 Assessing Vulnerabilities to Housing Market Corrections 113
4.1 Rising Car Ownership in Emerging Economies: Implications for Climate Change 142
4.2 South Asia: Illustrative Impact of an Abrupt Climate Shock 144
4.3 Macroeconomic Policies for Smoother Adjustment to Abrupt Climate Shocks 148
4.4 Catastrophe Insurance and Bonds: New Instruments to Hedge Extreme
Weather Risks 152
4.5 Recent Emission-Reduction Policy Initiatives 156
4.6 Complexities in Designing Domestic Mitigation Policies 160
5.1 How Does the Globalization of Trade and Finance Affect Growth?
Theory and Evidence 194
5.2 The Current Commodity Price Boom in Perspective 198
A1 Economic Policy Assumptions Underlying the Projections for Selected Economies 230
Tables
1.1 Overview of the World Economic Outlook Projections 2
1.2 Shares of Global GDP, 2007 45
1.3 Global Oil Demand and Production by Region 51
1.4 Food, Fuel, and Headline Infl ation 62
2.1 Advanced Economies: Real GDP, Consumer Prices, and Unemployment 66
2.2 Advanced Economies: Current Account Positions 67
2.3 Selected Asian Economies: Real GDP, Consumer Prices, and Current Account Balance 82
2.4 Selected Western Hemisphere Economies: Real GDP, Consumer Prices, and
Current Account Balance 83
2.5 Selected Emerging European Economies: Real GDP, Consumer Prices, and
Current Account Balance 85
2.6 Commonwealth of Independent States (CIS): Real GDP, Consumer Prices, and
Current Account Balance 93
2.7 Selected African Economies: Real GDP, Consumer Prices, and Current
Account Balance 96
2.8 Selected Middle Eastern Economies: Real GDP, Consumer Prices, and
Current Account Balance 98
3.1 Institutional Differences in National Mortgage Markets and the Mortgage
Market Index 107
3.2 Abnormal Contributions to GDP Growth Weakness One Year before Recessions 110
3.3 Features of House Price Cycles 111
3.4 Forecast Variance Decomposition: Housing Demand Shocks—Average
across Countries 117
3.5 Optimal Coeffi cients in the Taylor Rule 127
3.6 Estimates of the Error-Correction Model of Consumption 129
4.1 Losses in Real GNP, 2040 167
4.2 Baseline Growth Assumptions 178
4.3 Carbon-Based Emission Coeffi cients 179
4.4 Summary of the Baseline Scenario 180
4.5 Emission Intensities in the Baseline 181
4.6 Emission Reductions and Consumption Losses Following a Standardized
Carbon Price Shock 182
CONTENTS
vi
4.7 Comparison of Climate Policy Models 183
5.1 Cross-Sectional Regressions: Overall Trade 211
5.2 Cross-Sectional Regressions: Commodity Trade, Foreign Direct Investment (FDI) 212
5.3 Panel Regressions: Overall Trade 212
5.4 Panel Regressions: Commodity Trade, Foreign Direct Investment (FDI) 213
5.5 Panel Regressions: Institutions and Policies 214
Figures
1.1 Global Indicators 3
1.2 Current and Forward-Looking Indicators 4
1.3 Global Infl ation 5
1.4 Measures of Monetary Policy and Liquidity 6
1.5 Developments in Mature Credit Markets 7
1.6 Mature Financial and Housing Market Indicators 8
1.7 External Developments in Selected Advanced Economies 17
1.8 Emerging Economy Financial Conditions 23
1.9 External Developments in Emerging and Developing Economies 24
1.10 Growing Global Role of Emerging and Developing Economies 25
1.11 Global Outlook 31
1.12 Risks to the Global Outlook 32
1.13 Measures of the Output Gap and Capacity Pressures 34
1.14 Current Account Balances and Net Foreign Assets 35
1.15 Two Scenarios for the Global Economy 37
1.16 Purchasing-Power-Parity (PPP) Exchange Rate Revisions and Global Growth 44
1.17 Commodity and Petroleum Prices 47
1.18 World Oil Market Balances 52
1.19 Energy and Metal Prices and Metal Consumption Growth 57
1.20 Recent Developments in Major Food Crops 60
1.21 Macroeconomic Implications of High Commodity Prices 61
2.1 United States: Housing Cycles in Perspective 67
2.2 Western Europe: Tightening Lending Standards 77
2.3 Japan: Will Domestic Demand Be Able to Support Growth? 79
2.4 Emerging Asia: Trade Patterns and Growth Developments 81
2.5 Latin America: Long Road to Stronger Performance 84
2.6 Emerging Europe: Macroeconomic Vulnerabilities on the Rise 87
2.7 Commonwealth of Independent States (CIS): Infl ation Pressures Remain the
Central Concern 94
2.8 Sub-Saharan Africa: Vulnerability of Commodity Exports to Global Demand 95
2.9 Middle East: Strong Growth, Rising Infl ation 99
3.1 Mortgage Debt and Financial Innovation 105
3.2 Correlation of Real House Prices and Real Residential Investment
with the Output Gap 108
3.3 Labor Market Characteristics and the Contribution of Residential Investment
to the Business Cycle 111
3.4 Mortgage Market Index, Consumption and House Price Correlation, and
the Long-Run Marginal Propensity to Consume out of Housing Wealth 112
3.5 Share of Output Variation Explained by Housing Demand Shocks 117
CONTENTS
vii
3.6 Correlation between the Shares of Output and Housing Sector Variation
Explained by Housing Demand Shocks 118
3.7 Correlation between the Share of Output Variation Explained by Housing
Demand Shocks and the Mortgage Market Index 119
3.8 Housing and the Monetary Transmission Mechanism 119
3.9 Effect of Monetary Policy Shocks on Output and Housing Sector Variables in
the United States 120
3.10 Elasticity of Real Residential Investment, Real House Prices, and Output to a
100-Basis-Point Increase in Short-Term Interest Rates 121
3.11 Interest Rate Elasticity of Real Residential Investment, Real House Prices,
and Output and the Mortgage Market Index 122
3.12 Monetary Policy Counterfactuals 123
3.13 Macroeconomic Model with Housing as Collateral: Responses of Output
and Consumption to Shocks for Different Loan-to-Value (LTV) Ratios 125
3.14 Macroeconomic Model with Housing as Collateral: Response of Nominal
Interest Rates to a Positive Housing Demand Shock and a Negative Financial
Shock for Various Loan-to-Value (LTV) Ratios 126
4.1 Carbon Dioxide Energy-Related Emissions 135
4.2 Emission Forecasts 136
4.3 Mean GDP Losses at Various Levels of Warming 137
4.4 Damages from 2.5°C Warming by Region 138
4.5 Impact of Warming by Region and Sector 139
4.6 Physical Impact by 2080 140
4.7 Variation in Estimates of Damages from Climate Change 141
4.8 Weather Derivatives and Catastrophe Bonds 151
4.9 Global Emission Targets and Paths, 1990–2100 164
4.10 Uniform Carbon Tax, 2013–40 165
4.11 Total Costs of Mitigation, 2013–40 166
4.12 Cap-and-Trade System, 2013–40 169
4.13 International Transfers under the Cap-and-Trade System 170
4.14 Cap-and-Trade System for All Regions Based on Share of
World Population, 2013–40 171
4.15 Global Emissions from Energy Only, 2030 181
5.1 Trade in Goods and Services 191
5.2 Merchandise Exports of Emerging and Developing Economies 192
5.3 Gross Foreign Capital and Gross Foreign Liabilities 193
5.4 Commodity Prices 197
5.5 Values of Exports of Commodities and Manufactures 200
5.6 Volumes of Exports of Commodities and Manufactures 201
5.7 Patterns of Regional Trade 202
5.8 Foreign Direct Investment in Emerging and Developing Economies 203
5.9 Policy and Institutional Environment 204
5.10 Commodity Price Booms 205
5.11 Event Study of the Commodity Terms of Trade, 1970–2007 207
5.12 Explaining the Increase in Integration from the 1980s to the 2000s 214
A number of assumptions have been adopted for the projections presented in the World Economic
Outlook. It has been assumed (1) that real effective exchange rates will remain constant at their average
levels during January 30–February 27, 2008, except for the currencies participating in the European
exchange rate mechanism II (ERM II), which are assumed to remain constant in nominal terms rela-
tive to the euro; (2) that established policies of national authorities will be maintained (for specifi c
assumptions about fi scal and monetary policies in industrial countries, see Box A1); (3) that the aver-
age price of oil will be $95.50 a barrel in 2008 and $94.50 a barrel in 2009, and remain unchanged in
real terms over the medium term; (4) that the six-month London interbank offered rate (LIBOR) on
U.S. dollar deposits will average 3.1 percent in 2008 and 3.4 percent in 2009; (5) that the three-month
euro deposits rate will average 4.0 percent in 2008 and 3.6 percent in 2009; and (6) that the six-month
Japanese yen deposit rate will yield an average of 1.0 percent in 2008 and of 0.8 percent in 2009. These
are, of course, working hypotheses rather than forecasts, and the uncertainties surrounding them add
to the margin of error that would in any event be involved in the projections. The estimates and pro-
jections are based on statistical information available through end-March 2008.
The following conventions have been used throughout the World Economic Outlook:
. . . to indicate that data are not available or not applicable;
— to indicate that the fi gure is zero or negligible;
– between years or months (for example, 2006–07 or January–June) to indicate the years or
months covered, including the beginning and ending years or months;
/ between years or months (for example, 2006/07) to indicate a fi scal or fi nancial year.
“Billion” means a thousand million; “trillion” means a thousand billion.
“Basis points” refer to hundredths of 1 percentage point (for example, 25 basis points are equivalent
to ¼ of 1 percentage point).
In fi gures and tables, shaded areas indicate IMF staff projections.
If no source is listed on tables and fi gures, data are drawn from the World Economic Outlook
database.
When countries are not listed alphabetically, they are ordered on the basis of economic size.
Minor discrepancies between sums of constituent fi gures and totals shown are due to rounding.
As used in this report, the term “country” does not in all cases refer to a territorial entity that is a
state as understood by international law and practice. As used here, the term also covers some territo-
rial entities that are not states but for which statistical data are maintained on a separate and indepen-
dent basis.
ASSUMPTIONS AND CONVENTIONS
viii
This report on the World Economic Outlook is available in full on the IMF’s website, www.imf.org.
Accompanying it on the website is a larger compilation of data from the WEO database than in the
report itself, consisting of fi les containing the series most frequently requested by readers. These fi les
may be downloaded for use in a variety of software packages.
Inquiries about the content of the World Economic Outlook and the WEO database should be sent by
mail, electronic mail, or telefax (telephone inquiries cannot be accepted) to:
World Economic Studies Division
Research Department
International Monetary Fund
700 19th Street, N.W.
Washington, D.C. 20431, U.S.A.
E-mail: weo@imf.org
Telefax: (202) 623-6343
FURTHER INFORMATION AND DATA
ix
FURTHER INFORMATION AND DATA
[...]... analysis and projections contained in the World Economic Outlook are integral elements of the IMF’s surveillance of economic developments and policies in its member countries, of developments in international financial markets, and of the global economic system The survey of prospects and policies is the product of a comprehensive interdepartmental review of world economic developments, which draws primarily... authorities x FOREWORD This World Economic Outlook presents the IMF staff’s view of the world economy in spring 2008, with our assessment of current conditions and prospects and with an in-depth analysis of several key elements that will affect conditions and prospects in the months and years ahead This report has been prepared by a team composed primarily of the staff of the World Economic Studies division,... downward shift in estimates of global growth in recent years by about ½ percentage point relative to estimates in the October 2007 World Economic Outlook See Appendix 1.1 for more details 1 CHAPTER 1 GLOBAL PROSPECTS AND POLICIES Table 1.1 Overview of the World Economic Outlook Projections1 (Annual percent change unless otherwise noted) Current Projections Difference from January 2008 WEO Update 2006... this issue of the World Economic Outlook during its design and development In addition, I must emphasize, as always, that other IMF staff, both within the Research Department and across the organization, have played critical roles in producing this report, through direct contributions to all the chapters and through a continual process of collegial interaction and productive feedback The world economy... Financial Statistics; and IMF staff calculations 1Major commodity groups are defined as oil, metals, food, beverages, and agricultural raw materials xii are covered in considerable detail in this World Economic Outlook The first is that housing prices may adjust downward significantly in many other advanced economies (first figure) Although Chapter 3 shows that the particular dynamics of the housing market... around the world Although there is some reason to believe that the countries exporting commodities are now better able than in the past to withstand a serious downturn, we continue to urge caution: commodity prices have fallen, on average, by 30 percent during significant global slowdowns over the past 30 years All eyes now turn to the world s leading emerging economies They have come of economic age... cycle, although spillovers have clearly not been eliminated Outlook and Risks Global growth is projected to slow to 3.7 percent in 2008, ½ percentage point lower than at the time of the January World Economic Outlook Update and 1¼ percentage points lower than the growth recorded in 2007 Moreover, growth is projected to remain broadly unchanged in 2009 The divergence in growth performance between the... significant degree of global deleveraging This cutback in lending and the associated attempt to reduce risks played a major role in a most dramatic pair of events—both of which happened as this World Economic Outlook entered its final stages of preparation First, one of the five largest U.S investment banks, Bear Stearns, was sold under difficult circumstances—including the presumed imminence of a far-reaching... Middle East Western Hemisphere Brazil Mexico Memorandum European Union World growth based on market exchange rates World trade volume (goods and services) Imports Advanced economies Emerging and developing economies Exports Advanced economies Emerging and developing economies Commodity prices (U.S dollars) Oil2 Nonfuel (average based on world commodity export weights) Note: Real effective exchange rates... Statistical Appendix for details on groups and methodologies 1Country weights used to construct aggregate growth rates for groups of countries were revised from those reported in the October 2007 World Economic Outlook to incorporate updated PPP exchange rates released by the International Comparison Program 2Simple average of prices of U.K Brent, Dubai, and West Texas Intermediate crude oil The average . World Economic Outlook, April 2008
World Economic Outlook Housing and the Business Cycle
World Economic Outlook
Housing and the
Business Cycle
World Economic. Choon Lee
Cataloging-in-Publication Data
World economic outlook (International Monetary Fund)
World economic outlook : a survey by the staff of the International
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