Banking integration and house price co-movement

• 成果类型: Article
• 署名作者: Landier, Augustin; Sraer, David; Thesmar, David
• 署名单位: Universite de Toulouse; Universite Toulouse 1 Capitole; Toulouse School of Economics; University of California System; University of California Berkeley; National Bureau of Economic Research; Centre for Economic Policy Research - UK; Massachusetts Institute of Technology (MIT)
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2017.03.001
• 发表日期: 2017
• 页码: 1-25
• 关键词: financial integration; Co-movement; house prices

摘要

The correlation in house price growth across US states increased steadily between 1976 and 2000. This paper shows that the contemporaneous geographic integration of the US banking market, via the emergence of large banks, was a primary driver of this phenomenon. To this end, we first theoretically derive an appropriate measure of banking integration across state pairs and show that house price growth correlation is strongly related to this measure of financial integration. Our instrumental variable estimates suggest that banking integration can explain up to one-fourth of the rise in house price correlation over this period. (C) 2017 Elsevier B.V. All rights reserved.