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 Money Macro and Finance Research Group in its series Money Macro and Finance (MMF) Research Group Conference 2003 with number 46.
Date of creation: 27 Sep 2004
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Other versions of this item:
- Boris Hofmann, 2003. "Bank Lending and Property Prices: Some International Evidence," Working Papers 222003, Hong Kong Institute for Monetary Research.
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