Bank Lending and Property Prices: Some International Evidence
AbstractThis paper analyses the patterns of dynamic interaction between bank lending and property prices based on a sample of 20 countries using both time series and panel data techniques. Long-run causality appears to go from property prices to bank lending. This finding suggests that property price cycles, reflecting changing beliefs about future economic prospects, drive credit cycles, rather than excessive bank lending being the cause of property price bubbles. There is also evidence of short-run causality going in both directions, implying that a mutually reinforcing element in past boom-bust cycles in credit and property markets cannot be ruled out.
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Bibliographic InfoPaper provided by Hong Kong Institute for Monetary Research in its series Working Papers with number 222003.
Length: 20 pages
Date of creation: Oct 2003
Date of revision:
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Other versions of this item:
- Boris Hofmann, 2004. "Bank lending and property prices: some international evidence," Money Macro and Finance (MMF) Research Group Conference 2003 46, Money Macro and Finance Research Group.
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