Template-Type: ReDIF-Paper 1.0
Author-Name: Torsten Ehlers
Author-X-Name-First: Torsten
Author-X-Name-Last: Ehlers
Author-Name: Mathias Hoffmann
Author-X-Name-First: Mathias
Author-X-Name-Last: Hoffmann
Author-Name: Alexander Raabe
Author-X-Name-First: Alexander
Author-X-Name-Last: Raabe
Title: Non-US global banks and dollar (co-)dependence: how housing markets became internationally synchronized
Abstract: US net capital inflows drive the international synchronization of house price growth. An increase (decrease) in US net capital inflows improves (tightens) US dollar funding conditions for non-US global banks, leading them to increase (decrease) foreign lending to third-party borrowing countries. This induces a synchronization of lending across borrowing countries, which translates into an international synchronization of mortgage credit growth and, ultimately, house price growth. Importantly, this synchronization is driven by non-US global banks' common but heterogenous exposure to US dollar funding conditions, not by the common exposure of borrowing countries to non-US global banks. Our results identify a novel channel of international transmission of US dollar funding conditions: As these conditions vary over time, borrowing country pairs whose non-US global creditor banks are more dependent on US dollar funding exhibit higher house price synchronization.
Length: 56 pages
Creation-Date: 2020-10
File-URL: https://www.bis.org/publ/work897.pdf
File-Format: Application/pdf
File-Function: Full PDF document
File-URL: https://www.bis.org/publ/work897.htm
File-Format: text/html
Number: 897
Keywords: house price synchronization, US dollar funding, global US dollar cycle, global imbalances, capital inflows, global banks, global banking network
Classification-JEL: F34, F36, G15, G21
Handle: RePEc:bis:biswps:897