Three Cycles: Housing, Credit, and Real Activity

Tamirisa, Natalia; Kabundi, Alain; Igan, Deniz; Simone, Francisco d Nadal De; Pinheiro, Marcelo

doi:10.5089/9781451873788.001

Cited by 3 publications

(1 citation statement)

References 31 publications

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“…Housing and mortgage markets were indeed at the center of the financial crisis that precipitated the worst global recession since the Great Depression (e.g. Tamirisa et al (2009); Guerrieri and Uhlig ( 2016)). Stock prices may also have important interaction with household borrowing, running along wealth-effects lines as in the case of housing market.…”

Section: Macroeconomic Determinants Of Housing Loansmentioning

confidence: 99%

House prices and credit cycles: the case of Cyprus

Pontiggia

Sivitanides

2020

JPIF

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PurposeThe purpose of this paper is to assess whether the rapid accumulation of bank deposits before the global financial crisis and their subsequent drastic reduction was the main driving force of the Cyprus house price cycle over the period 2006–2015.Design/methodology/approachTo this aim we estimate a three-equation model in which house prices are determined by housing loans, among other factors, and housing loans are determined by bank deposits. All equations are estimated using partial adjustment model specifications.FindingsOur findings indicate that housing loans, which capture the effect of credit availability on housing demand, had the smallest effect on house prices, thus providing little support to our proposition of a deposits-driven cycle in house prices.Research limitations/implicationsThe main limitation of the study is the use of the housing loan stock instead of the actual volume of housing loans in each period due to lack of such data. As a result our econometric estimates may not accurately capture the magnitude of the effect of housing loans on house prices.Practical implicationsThe study has important practical implications for policy makers as it highlights the importance of availability of credit in supporting effective demand for housing during periods of economic growth. Furthermore, it highlights the key role of house price increases in combination with the collateral effect in driving the house price cycle.Originality/valueThis is among the few studies internationally and the first study in Cyprus that attempts to link econometrically the credit and house price cycles that were caused by the global financial crisis.

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Section: Macroeconomic Determinants Of Housing Loansmentioning

confidence: 99%

House prices and credit cycles: the case of Cyprus

Pontiggia

Sivitanides

2020

JPIF

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Measuring financial cycles in a model-based analysis: Empirical evidence for the United States and the euro area

et al. 2016

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in AbstractWe adopt an unobserved components time series model to extract financial cycles for the United States and the five largest euro area countries over the period 1970 to 2014. We find that credit, the credit-to-GDP ratio and house prices have medium-term cycles which share a few common statistical properties. We show that financial cycles are longer and more ample than business cycles, and that their length and amplitude vary over time and across countries.

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Comparing the dynamics of financial and business cycles in the BRICS countries

SHCHEPELEVA,

FILIPPOV

2023

FASE

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Subject. The BRICS countries are among the fastest developing and growing economies. However, research on relationship between their financial and business cycles is insufficient. The article intends to address this gap and provide such information. Objectives. The aim is to determine the main characteristics of cycle phases (amplitude and duration) for the BRICS countries and to assess the degree of their synchronization. Methods. The study employs an algorithm for periodization of various phases of financial and business cycles, proposed by D. Harding and A. Pagan in 2003, the analysis of concordance coefficients to determine the degree of synchronization of different cycles, and the logistic regression to quantify the probability of recession in the real sector, if there is a crisis in the financial sector. Results. The findings revealed a high degree of synchronization of financial and business cycles in the BRICS countries, comparable to the EU member States. At the same time, the degree of synchronization changes during crisis events and after political decisions. The degree of synchronization of business cycles turns out to be much higher than financial cycles. Conclusions. The findings should be considered when coordinating the economic policies of the BRICS countries. Using certain fiscal, monetary, or macroprudential tools, countries should take into account that their decisions will also affect other member countries of this organization.

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Three Cycles: Housing, Credit, and Real Activity

Abstract: JEL Classification Numbers: E32, E44, F40

Cited by 3 publications

References 31 publications

House prices and credit cycles: the case of Cyprus

House prices and credit cycles: the case of Cyprus

Measuring financial cycles in a model-based analysis: Empirical evidence for the United States and the euro area

Comparing the dynamics of financial and business cycles in the BRICS countries

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