日時：12月8日（金）17:20-18:50
報告者：櫻川 昌哉  （慶應義塾大学）
場所：2号館11階経済学部会議室B & ZOOM (HyFlex)
幹事：長谷部 拓也
言語：英語
タイトル： Credit expansion and boom-bust cycle of housing prices
要旨：This paper empirically tests for the channel through which credit supply expansion affects housing prices, using a dataset of an unbalanced panel of 20 OECD countries that covers the period from 1980 to 2019. We use Jordà’s (2005) local projection method to estimate impulse response functions of housing prices to the credit shock. An exogeneous expansion of credit growth leads to the boom in housing price growth at short horizons and to the bust at longer horizons. This finding is established using Bartik-like instrument that is constructed by combining a country’s measure of banking deregulation and conditions of global credit growth. Our result for the boom followed by bust contradicts with the rational expectation models, suggesting that the credit was excessively supplied. The pattern of boom and bust is affected by several elements, such as the current account balance and the interval of credit growth. Our identified shock is the credit supply shock rather than the demand shock.

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