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Bank integration and co-movements across housing markets

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  • Milcheva, Stanimira
  • Zhu, Bing

Abstract

This paper investigates whether bank integration measured by cross-border bank flows can capture the co-movements across housing markets in developed countries by using a spatial dynamic panel model. The transmission can occur through a global banking channel in which global banks intermediate wholesale funding to local banks. Changes in financial conditions are passed across borders through the banks’ balance-sheet exposure to credit, currency, maturity, and funding risks resulting in house price spillovers. While controlling for country-level and global factors, we find significant co-movement across housing markets of countries with proportionally high bank integration. Bank integration can better capture house price co-movements than other measures of economic integration. Once we account for bank exposure, other spatial linkages traditionally used to account for return co-movements across region – such as trade, foreign direct investment, portfolio investment, geographic proximity, etc. – become insignificant. Moreover, we find that the co-movement across housing markets decreases for countries with less developed mortgage markets characterized by fixed mortgage rate contracts, low limits of loan-to-value ratios and no mortgage equity withdrawal.

Suggested Citation

  • Milcheva, Stanimira & Zhu, Bing, 2016. "Bank integration and co-movements across housing markets," Journal of Banking & Finance, Elsevier, vol. 72(S), pages 148-171.
  • Handle: RePEc:eee:jbfina:v:72:y:2016:i:s:p:s148-s171
    DOI: 10.1016/j.jbankfin.2015.07.002
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    More about this item

    Keywords

    House prices; Bank capital flows; Bank integration; Dynamic spatial panel model; Global banking channel; Mortgage market development;
    All these keywords.

    JEL classification:

    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
    • R3 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location

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