The Determinants of Bank Credit in Industrialized Countries: Do Property Prices Matter?
AbstractIn this study, we analyse the determinants of bank credit to the private non-financial sector in 16 industrialized countries based on a cointegrating VAR. Cointegration analysis suggests that property prices are an important determinant of the long-run borrowing capacity of the private sector, which needs to be taken into account to explain the long-run movements of bank lending. Impulse response analysis reveals that innovations to property prices also have a highly significant and persistent positive dynamic effect on bank lending. This result suggests that innovations to property prices may give rise to significant and persistent cycles in bank lending and are thus a potential explanation for the persistent financial cycles observed in the past. Copyright Blackwell Publishing Ltd. 2004
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Wiley Blackwell in its journal International Finance.
Volume (Year): 7 (2004)
Issue (Month): 2 (07)
Contact details of provider:
Web page: http://www.blackwellpublishing.com/journal.asp?ref=1367-0271
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Buncic, Daniel & Martin Melecky, 2013.
"Equilibrium Credit: The Reference Point for Macroprudential Supervisors,"
Economics Working Paper Series
1301, University of St. Gallen, School of Economics and Political Science.
- Buncic, Daniel & Melecky, Martin, 2014. "Equilibrium credit: The reference point for macroprudential supervisors," Journal of Banking & Finance, Elsevier, vol. 41(C), pages 135-154.
- Buncic, Daniel & Melecky, Martin, 2013. "Equilibrium credit : the reference point for macroprudential supervisors," Policy Research Working Paper Series 6358, The World Bank.
- Addison-Smyth, Diarmaid & McQuinn, Kieran & O'Reilly, Gerard, 2009.
"Modelling Credit in the Irish Mortgage Market,"
The Economic and Social Review,
Economic and Social Studies, vol. 40(4), pages 371-392.
- Michael Frömmel & Torsten Schmidt, 2006.
"Bank Lending and Asset Prices in the Euro Area,"
RWI Discussion Papers
0042, Rheinisch-Westfälisches Institut für Wirtschaftsforschung.
- Frömmel, Michael & Schmidt, Torsten, 2006. "Bank Lending and Asset Prices in the Euro Area," Diskussionspapiere der Wirtschaftswissenschaftlichen FakultÃÂ¤t der Leibniz UniversitÃÂ¤t Hannover dp-342, Leibniz UniversitÃ¤t Hannover, Wirtschaftswissenschaftliche FakultÃ¤t.
- Sophocles Brissimis & Thomas Vlassopoulos, 2009.
"The Interaction between Mortgage Financing and Housing Prices in Greece,"
The Journal of Real Estate Finance and Economics,
Springer, vol. 39(2), pages 146-164, August.
- Sophocles N. Brissimis & Thomas Vlassopoulos, 2007. "The Interaction between Mortgage Financing and Housing Prices in Greece," Working Papers 58, Bank of Greece.
- Bouvatier, Vincent & López-Villavicencio, Antonia & Mignon, Valérie, 2014. "Short-run dynamics in bank credit: Assessing nonlinearities in cyclicality," Economic Modelling, Elsevier, vol. 37(C), pages 127-136.
- Michal Rubaszek & Dobromil Serwa, 2011.
"Determinants of credit to households in a life-cycle model,"
National Bank of Poland Working Papers
92, National Bank of Poland, Economic Institute.
- Rubaszek, Michał & Serwa, Dobromil, 2012. "Determinants of credit to households in a life-cycle model," Working Paper Series 1420, European Central Bank.
- Koetter, Michael & Poghosyan, Tigran, 2008. "Real estate markets and bank distress," Discussion Paper Series 2: Banking and Financial Studies 2008,18, Deutsche Bundesbank, Research Centre.
- Gimeno, Ricardo & Martínez-Carrascal, Carmen, 2010. "The relationship between house prices and house purchase loans: The Spanish case," Journal of Banking & Finance, Elsevier, vol. 34(8), pages 1849-1855, August.
- Ioannis Ganoulis & Massimo Giuliodori, 2011. "Financial liberalization and house price dynamics in Europe," Applied Economics, Taylor & Francis Journals, vol. 43(21), pages 2671-2688.
- Marie-Louise Djigbenou, 2014. "Determinants of Global Liquidity Dynamics:a FAVAR approach," Working Papers hal-00956314, HAL.
- Ricardo Gimeno & Carmen Martínez-Carrascal, 2006. "The interaction between house prices and loans for house purchase. The Spanish case," Banco de Espaï¿½a Working Papers 0605, Banco de Espa�a.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.