Bank integration and co-movements across housing markets
Bank integration and co-movements across housing markets
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银行整合和整个房地产市场的联动
DOI：
10.1016/j.jbankfin.2015.07.002
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发表时间：
2016
影响因子：
3.7
通讯作者：
B. Zhu
中科院分区：
文献类型：
--
作者：
Stanimira Milcheva;B. Zhu
本文利用空间动态面板模型研究了以跨境银行流动为衡量指标的银行一体化是否能够反映发达国家住房市场的联动性。这种传导可以通过全球银行渠道进行，在这一渠道中，全球银行充当向当地银行提供批发融资的中介。金融状况的变化通过银行资产负债表的信贷、货币、到期和融资风险跨越国界，导致房价溢出。在控制国家层面和全球因素的同时，我们发现银行一体化程度较高的国家的住房市场存在显著的联动性。银行一体化比其他经济一体化指标更能反映房价的联动性。一旦我们考虑到银行风险敞口，传统上用于解释跨区域回报联动的其他空间联系-如贸易、外国直接投资、证券投资、地理邻近性等-就变得微不足道。此外，我们发现，在住房市场的联动性下降的国家与欠发达的抵押贷款市场的特点是固定的抵押贷款利率合同，低限制的贷款价值比率和没有抵押贷款股权撤回。
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.
住房需求和经济波动的溢出效应
DOI：
--
发表时间：
2017
期刊：
影响因子：
--
作者：
Mase M;Eto M;Tanimura N;Imai K;Tsukamoto K;Horimoto T;Kawaoka Y;Yamaguchi S.;浜端悦治;Toyoichiro Shirota
通讯作者：
Toyoichiro Shirota
影响因子：
1.9
作者：
Kelejian, HH;Prucha, IR
通讯作者：
Prucha, IR
日本宏观经济公告对美元/日元汇率的影响
DOI：
--
发表时间：
2009
期刊：
影响因子：
--
作者：
Hara;H.;Aoki;S. and Takemura;A.;丸山敦裕;柄谷利恵子;中田邦博;百原 新;伊藤隆敏;H.Tanizaki;本久洋一;吉澤誠一郎;松田素二;亀田修一;YAMAKAGE Susumu;本久洋一;高橋美由紀;橋本優子
通讯作者：
橋本優子