Betting the house

• 成果类型: Article; Proceedings Paper
• 署名作者: Jorda, Oscar; Schularick, Moritz; Taylor, Alan M.
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - San Francisco; University of California System; University of California Davis; University of Bonn; University of California System; University of California Davis; National Bureau of Economic Research
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2014.12.011
• 发表日期: 2015
• 页码: S2-S18
• 关键词: Financial crises; monetary policy; leverage; credit; house prices; local projections

摘要

Is there a link between loose monetary conditions, credit growth, house price booms, and financial instability? This paper analyzes the role of interest rates and credit in driving house price booms and busts with data spanning 140 years of modern economic history in the advanced economies. We exploit the implications of the macroeconomic policy trilemma to identify exogenous variation in monetary conditions: countries with fixed exchange regimes often see fluctuations in short-term interest rates unrelated to home economic conditions. We use novel instrumental variable local projection methods to demonstrate that loose monetary conditions lead to booms in real estate lending and house prices' bubbles; these, in turn, materially heighten the risk of financial crises. Both effects have become stronger in the postwar era. (C) 2014 Elsevier B.V. All rights reserved.