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Mortgages and Credit Cycle Divergence in Eurozone Economies

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  • Bezemer, Dirk
  • Samarina, Anna
  • Zhang, Lu

    (University of Groningen)

Abstract

The dynamics of household mortgage credit and loans to non-financial busi-ness have diverged significantly in recent decades. In this paper we constructand describe credit cycles for total bank credit, household mortgages and non-financial business loans for 14 EMU economies over 1990–2013. We explorethe cross-country coherence of credit gaps measured by synchronicity of move-ments and similarity of amplitudes, and analyze correlates of credit cycle coher-ence. Two findings stand out. As household mortgage credit assumes a largershare in total credit, credit cycle coherence across EMU economies decreases.EMU membership is associated with convergence of business credit cycles butdivergence of household mortgage credit cycles. These findings survive a bat-tery of sensitivity checks. We discuss implications for monetary policy.

Suggested Citation

  • Bezemer, Dirk & Samarina, Anna & Zhang, Lu, 2015. "Mortgages and Credit Cycle Divergence in Eurozone Economies," Research Report 15021-GEM, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
    • Handle: RePEc:gro:rugsom:15021-gem
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