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La recente crisi finanziaria e la recessione che ne e' seguita hanno spinto molti a guardare al mercato immobiliare come ad una possibile fonte di fluttuazioni macroeconomiche. Inoltre, esse hanno evidenziato il ruolo cruciale dei paesi emergenti per la crescita globale e rianimato il dibattito sulla relazione tra politica monetaria e il prezzo degli asset. Questa tesi di dottorato, composta di tre saggi, si incentra sui mercati immobiliari dei paesi industrializzati e emergenti nonché sulla relazione tra i prezzi delle case e il ciclo macroeconomico. Il primo saggio descrive un data set originale di prezzi delle case per 19 paesi emergenti (con frequenza trimestrale e aggiornato al 2009:4) e li confronta con un data set esistente per 21 paesi industrializzati. Il secondo saggio studia la trasmissione internazionale di shock di domanda immobiliare negli Stati Uniti e il loro impatto sull'economia reale. Il terzo saggio analizza la relazione tra politica monetaria e macro-prudenziale in un semplice modello di asset-pricing. / The recent global financial crisis and ensuing recession led many to look at the housing market as a possible source of macroeconomic fluctuations, highlighted the crucial role played by emerging market economies as a source of world growth, and revived the much discussed issue of the interaction between monetary policy and asset prices volatility. Motivated by these issues, my Ph.D. thesis focuses on housing markets in both advanced and emerging economies and their interaction with the macroeconomy. This dissertation consists of three self-contained essays. The first essay describes a novel dataset on house prices for 19 emerging economies with quarterly data updated to 2009:4, to be compared with an existing database for 21 advanced economies. The second essay investigates the international spillovers of U.S. housing demand shocks across housing markets and their impact on real economic activity. The third essay studies the uncharted interaction between monetary and macro-prudential policies in a simple model of consumption-based asset pricing with collateralized borrowing.

Problem statement: Accurate and reliable forecasts of trends in the housing market can be useful information for market participants as well as policy makers. This information may be useful to minimize risk related to market uncertainty. Since the burst of the housing bubble in the early 1990s the price level of single-family houses has risen sharply in Sweden. The Swedish housing market has experienced an unusually long period of high growth rates in transaction prices which has opened up for discussions about the risk of another housing bubble. Business and property cycles have shown to contain asymmetries, which linear models are unable to pick up and therefore inappropriate to analyze cycles. Approach: Therefore, this study uses non-linear models which are able to pick up the asymmetries. The estimated models are variations of the Markov-switching regression model, i.e. the Markov-switching autoregressive (MS-AR) model and the Markov-switching dynamic regression (MS-DR) model. Results: Our ndings show that the MS-AR(4) model allowing for varying variance across regimes estimated using the growth rate of FASTPI produce superior forecasts over other MSAR models as well as variations of the MS-DR model. The average expected duration to remain in a positive growth regime is between 6.3 and 7.3 years and the average expected duration to remain in a negative growth regime is between 1.2 to 2.5 years. Conclusion: The next regime shift in the Swedish housing market is projected to occur between 2018 and 2019, counting the contraction period in 2012 as the most recent negative regime. Our ndings support other studies ndings which indicate that the longer the market has remained in one state, the greater is the risk for a regime shift. / Problemformulering: Noggranna och tillforlitliga prognoser om utvecklingen pa bostadsmarknaden kan vara anvandbar information for marknadsaktorer samt beslutsfattare. Denna information kan vara anvandbar for att minimera risken relaterad till osakerheten pa marknaden. Sen bostadsbubblan sprack i borjan av 1990-talet har prisnivan for smahus okat kraftigt i Sverige. Den svenska bostadsmarknaden har upplevt en ovanligt lang period av hog tillvaxt i transaktionspriser som har oppnat upp for diskussioner om risken for en ny bostadsbubbla. Konjunkturoch fastighetscykler har visat sig innehalla asymmetrier som linjara modeller inte kan uppfanga och darfor visat sig vara olampliga for att analysera cykler. Tillvagagangssatt: Darfor anvander den har studien icke-linjara modeller som kan uppfanga dessa asymmetrier. De skattade modellerna ar variationer av Hamiltons Markov-switchingmodell, dvs. en autoregressiv Markov-switchingmodell (MS-AR) och en dynamisk Markov-switchingmodell (MS-DR). Resultat: Resultatet visar att MS-AR(4)-modellen som tar hansyn till varierande varians over regimerna estimerad med tillvaxten av FASTPI producerar overlagsna prognoser jamfort med andra MS-AR-modeller samt variationer av MS-DR-modellen. Den genomsnittliga forvantade varaktigheten att benna sig i en positiv regim ar mellan 6,3 och 7,3 ar och den  genomsnittliga forvantade varaktigheten att benna sig i en negativ regim ar mellan 1,2 till 2,5 ar. Slutsats: Nasta regimskifte pa den svenska bostadsmarknaden beraknas ske mellan 2018 och 2019, antaget att nedgangen under 2012 ar den senaste negativa regimen. Resultatet stodjer tidigare studier, som tyder pa att ju langre marknaden har varit i ett tillstand, desto storre ar risken for ett regimskifte.