The Determinants of Private Sector Credit in Industrialised Countries: Do Property Prices Matter?
The Determinants of Private Sector Credit in Industrialised Countries: Do Property Prices Matter?
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工业化国家私营部门信贷的决定因素：房地产价格重要吗？
DOI：
10.2139/ssrn.847404
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发表时间：
2001
期刊：
影响因子：
--
通讯作者：
Boris Hofmann
中科院分区：
文献类型：
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作者：
Boris Hofmann
信贷市场的繁荣和萧条往往与经济活动和房地产市场的周期同时发生。这些周期的巧合已经在文献中被广泛记录，但很少有研究以正式的方式解决这个问题。在这项研究中，我们基于协整 VAR 分析了 1980 年以来 16 个工业化国家私营非银行部门信贷的决定因素。协整检验表明，信贷的长期发展不能用标准信贷需求因素来解释。但是，一旦将房地产价格（以实际住宅和实际商业地产价格的加权平均值衡量）添加到系统中，我们就能够确定长期关系，将实际信贷与实际 GDP 和房地产价格呈正相关，与实际利率呈负相关。这些长期关系可以解释为长期延伸的信贷需求关系，但我们也可以捕捉对信贷供应的影响。基于标准 Cholesky 分解的脉冲响应分析表明，银行信贷与房地产价格之间存在显着的双向动态交互作用。我们还发现，短期实际利率的创新对银行信贷、GDP 和房地产价格产生强烈且显着的负面影响。
Episodes of boom and bust in credit markets have often coincided with cycles in economic activity and property markets. The coincidence of these cycles has already been widely documented in the literature, but few studies address the issue in a formal way. In this study we analyse the determinants of credit to the private non-bank sector in 16 industrialised countries since 1980 based on a cointegrating VAR. Cointegration tests suggest that the long-run development of credit cannot be explained by standard credit demand factors. But once real property prices, measured as a weighted average of real residential and real commercial property prices, are added to the system, we are able to identify long-run relationships linking real credit positively to real GDP and real property prices and negatively to the real interest rate. These long-run relationships may be interpreted as long-run extended credit demand relationships, but we may also capture effects on credit supply. Impulse response analysis based on a standard Cholesky decomposition reveals that there is significant two-way dynamic interaction between bank credit and property prices. We also find that innovations to the short-term real interest rate have a strong and significant negative effect on bank credit, GDP and property prices.