Milcheva, Stanimira and Zhu, Bing (2016) Bank integration and co-movements across housing markets. JOURNAL OF BANKING & FINANCE, 72. S148-S171. ISSN 0378-4266, 1872-6372
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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. (C) 2015 Elsevier B.V. All rights reserved.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | MONETARY-POLICY; FINANCIAL CRISES; CAPITAL INFLOWS; SHOCKS EVIDENCE; GLOBAL BANKS; EURO AREA; TRANSMISSION; US; GLOBALIZATION; CONSUMPTION; House prices; Bank capital flows; Bank integration; Dynamic spatial panel model; Global banking channel; Mortgage market development |
| Subjects: | 600 Technology > 650 Management & auxiliary services |
| Divisions: | Business, Economics and Information Systems > Institut für Immobilienenwirtschaft / IRE|BS |
| Depositing User: | Dr. Gernot Deinzer |
| Date Deposited: | 16 Apr 2019 11:27 |
| Last Modified: | 16 Apr 2019 11:27 |
| URI: | https://pred.uni-regensburg.de/id/eprint/3983 |
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