Avrupa Birliği’nde Kredi Arzı ve Konut Fiyatları Arasındaki Etkileşim: Devlet Borç Krizi Ülkelerine İlişkin Bir Değerlendirme

Öz

Mevcut literatür, konut ya da kredi piyasaları arasındaki yakın ilişki nedeniyle, bu piyasaların herhangi birinde ortaya çıkan gelişmeler tüm finansal sektörü, hatta ekonomiyi de etkileyebileceğini göstermektedir. Üstelik artan finansal serbestleşmeyle, yurt içi finansal piyasaların uluslararası finansal piyasalara artan bağımlılığı pek çok ülkede konut ve kredi piyasaları arasındaki ilişkiyi önemli ölçüde güçlenmiştir. Bu çalışmanın amacı, vektör otoregresif (VAR) modeli kullanarak, hem Avro Bölgesi hem de AB’nin devlet borç krizine giren ülkelerinde (GIIPS), konut fiyatları ile açılan kredi arasındaki etkileşimin incelenmesidir. Analiz sonuçları, tüm örneklemlerde kredi arzının, kredi ve konut fiyatları arasındaki ilişkide belirleyici olduğunu göstermektedir.

Anahtar Kelimeler

• Açılan Kredi
• Konut Fiyatları
• Devlet Borç Krizi Ülkeleri

INTERACTION BETWEEN CREDIT LENDING AND HOUSE PRICES IN THE EUROPEAN UNION: AN ASSESSMENT OF SOVEREIGN DEBT CRISIS COUNTRIES

Abstract

The existing literature indicates developments in either the housing markets or the credit markets can influence the whole financial sector or even the economy due to the close relationship between both markets. With an increasing dependency on the domestic financial markets to international financial markets caused by an increasing financial liberalisation degree, this relationship has strengthened significantly in many countries. This study aims at examining the interaction between credit lending and house prices for the Eurozone and the sovereign debt crisis countries of the EU (the GIIPS) at the cross-country and country levels, respectively. To do this, the vector autoregressibe (VAR) approach is followed. The findings show credit lending, not house prices are decisive in the interaction between credit and house prices for all samples.

Keywords

• Credit Lending
• House Prices
• the Sovereign Debt Crisis Countries

References

1. Acemoğlu, Daron et al., “Institutions as the Fundamental Cause of Long-Run Growth”, Handbook of Economic Growth, eds. Philippe Aghion and Steven N. Durlauf, Vol.1-B, (Amsterdam: North-Holland Publishing Co., 2005), 386- 472.
2. Addae-Dapaah, Kwame and Anh, Mai Ngoc, “Housing Loan and the Price of Housing in Singapore”, Journal of Business and Economics, 5(2014), 1513- 1524.
3. Aggarwal, Raj and Goodell, John W.,“Markets and institutions in financial intermediation: National characteristics as determinants”, Journal of Banking & Finance, 33 (2009), 1770–1780.
4. Anundsen, André K. et al., “Bubbles and Crises: The Role of House Prices and Credit”, Journal of Applied Econometrics, 31, No.7 (2016), 1291-1311.
5. Aizanman, Joshua et al., “What is the Risk of European Sovereign Debt Defaults? Fiscal Space, CDS spreads andmarket pricing of risk”, Journal of International Money and Finance, 34, April (2013), 37-59.
6. Bahmani-Oskooee, Mohsen and Ghodsi, Seyed, “Asymmetric Causality between Unemployment Rate and House Prices in Each State of the U.S.A”, International Real Estate Review, 12, No.1 (2018), 71-92.
7. Ball, Michael, Lizieri, Colin and MacGregor, Bryan, Economics of Commercial Real Estate Markets, (Abingdon on Thames: Routledge, 1998).
8. Basten, Christoph and Koch, Catherina, “The causal effect of house prices on mortgage demand and mortgage supply: Evidence from Switzerland”, Journal of Housing Economics, Cilt.30, 2015, s.1-22.

9. Bernanke, Ben S. and Gertler, Mark,“Agency costs, collateral and business fluctuations”, American Economic Review, 79(1989), 14-31.
10. BIS (2018), https://www.bis.org/statistics/totcredit/credpriv_doc.pdf (13.01.2018).
11. Bordo, Michael et al., “Economic policy uncertainty and the credit channel: Aggregate and bank level US evidence over several decades”, Journal of Financial Stability, 26(2016), October, 90-106.
12. Brissimis, Sophocles N. ve Vlassopoulos, Thomas, “The Interaction between Mortgage Financing and Housing Prices in Greece”, Journal of Real Estate Finance Economics, 39 (2009), 146–164.
13. Brooks, Chris, Introductory Econometrics for Finance, Second edition (New York: Cambridge University Press, 2008).
14. Buzaglo, Jorge, “The Eurozone crisis: Looking through the financial fog with Keynesian glasses”, Real World Economics Review, 54(2011), 77-82.
15. Calza, Alessandro et al., “Credit in the euro area: An empirical investigation using aggregate data”, Quarterly Review of Economics and Finance, 46(2006), 211-226.
16. Canova, Fabio, Methods for Applied Macroeconomic Research, (New Jersey: Princeton University Press, 2011).
17. CEC, White paper on the integration of EU mortgage credit markets, SEC(2007) 1683} {SEC(2007) 1684.
18. Cerutti, Eugenio et al. “Housing finance and real-estate booms: A cross-country perspective, Journal of Housing Economics, 38(2017), 1–13.
19. Cesa-Bianchi, Ambroigo et al.,“International Credit Supply Shocks”, Journal of International Economics, 112(2018), 219-237
20. Chan Kalok and Chung, Y.Peter, Vector autoregression or simultaneous equations model? The intraday relationship between index arbitrage and market volatility”, Journal of Banking & Finance, 19 (1995), 173-179.
21. Collyns, Charles and Senhadji, Abdelhak, “Lending Booms, Real Estate Bubbles, and the Asian Crisis”, Asset Prices Bubbles; The Implications for Monetary, Regulatory and International Policies, W.C. Hunter, G.C Kaufman and M. Pomerleano eds., (Cambridge: the MIT Press,, 2005), 101-125.
22. Criado, Sarai and Van Rixtel, Andrian, Structured Finance and The Financial Turmoil of 2007-2008: An Introductory Overview, Banco de Espana, Documentos Ocasionales No. 0808, 2008, http://www.bdc.es/informes/be/ocasional/do0808e.pdf (03.12.2017).
23. Davis, E.Philip. ve Zhu, Haibin, Bank lending and commercial property cycles: some cross-country evidence, BIS Working papers No. 150, March, 2004.
24. Deaton, Angus, “Angus Deaton, “ Franco Modigliani and the Life Cycle Theory of Consumption”, BNL Quarterly Review, 58(2005), 91-107;
25. Dis Dias, Jorge , “The External Debts Statistics of Euro Area”, Final Version 12 October, paper presented in IFC Conference on Initiateves to address data Gaps Revealed by the Financial Crisis, 25-26 August 2010, http://www.bis.org/ifc/events/5ifcconf/dias.pdf (01.12.2017).
26. Dübel, Hans-Joachim, “The Commission’s White Paper on Mortgage Markets: Inching towards consensus…but missing the big picture”, ECRI Commentary, No.4/1. February,1-7.
27. Duré, Alain et al., “The ECB’s Experience of Monetary Policy in a Financially Fragmented Euro Area”, Comparative Economic Studies, 56(2014), 396-423.
28. Drudi, Francesco et al. “The interplay of economic reforms and monetary policy: The case of the euro area”, Journal of Common Market Studies, 50(2012), 881–898.
29. EBA, EBA Consumer Trends Report 2017, https://eba.europa.eu/documents/10180/1720738/Consumer+Trends+Report+2017.pdf (16 June 2018)
30. EC, Scoreboard for the surveillance of macroeconomic imbalances, Occasional Paper No.92, February, 2012, Brussels.
31. EC , 2018, http://ec.europa.eu/eurostat/tgm/table.do?tab=table&init=1&language= en&pcode=tipsbp10&plugin=1 (07.01.2018).
32. ECB, Monetary Policy of the ECB, (Frankfurt: 2011).
33. ECB, Convergence Report, (Frankfurt: 2016).
34. EMF, Hypostat 2010, November, Brussels, 2011.
35. EMF, Hypostat 2017, November, Brussels, 2018.
36. Eurostat, 2018, https://ec.europa.eu/eurostat/data/database (11.08.2019).
37. FCIC, Securitization and Mortgage Crisis, April 7, 2010(a), http://www.fcic.gov/reports/pdfs/2010-0407-Preliminary_Staff_Report_-_Securitization_and_the_Mortgage_Crisis.pdf (20.05.2018).
38. FCIC, Shadow Banking and Financial Crisis, May 4 2010(b) http://c0182732.cdn1.cloudfiles.rackspacecloud.com/2010-0505-ShadowBanking.pdf(20.05.2018).
39. Fitzpatrick, Trevor and McQuinn, Kieran, “House Prices and Mortgage Credit: Empirical Evidence for Ireland”, The Manchester School, 75(2007), 82–103.
40. Gaganis, Chrysovalantis et al., “National culture and housing credit”, Journal of Empirical Finance, 56(2020), 19–41.
41. Gerlach, Stefan and Peng, Wenshegn, “Bank lending and property prices in Hong Kong”, Journal of Banking &Finance, 29(2005), 461–481.
42. Gertler, Mark and Kiyotaki, Nobuhiro, “Banking, Liquidity, and Bank Runs in an Infinite Horizon Economy”, American Economic Review, 105(2015), 2011-2143.
43. Gimeno, Ricardo ve Martínez-Carrascal, Carmen, The relationship between house prices and house purchase loans: The Spanish case, Journal of Banking & Finance, 34(2010), 1849–1855.
44. Goodhart, Charles and Hofmann, Boris, House prices, money, credit, and the macroeconomy, Oxford Review of Economic Policy, 24(2008), 180-205.
45. Greiber, Claus and Setzer, Ralph, “Money and housing – evidence for the euro area and the US”, Deutsche Bundesbank Discussion Paper Series 1: Economic Studies No 12/2007.
46. Helbling, Thomas et al., “Do credit shocks matter? A global perspective”, European Economic Review, 55 (2011), 340-353.
47. Hilbers, Paul et al., House Price Developments in Europe: A Comparison IMF Working paper No.211, October,2018.
48. Iacoviello, Matteo, “House Prices, Borrowing Constraints, and Monetary Policy in the Business Cycle”, American Economic Review, 95, No.3 (2005), 739–64.
49. Ibrahim, Mansor. H. ve Law, Siong. H., “House prices and bank credits in Malaysia: An aggregate and disaggregate analysis”, Habitat International, 4(2014), 111-120.
50. IMF, Global Stability Report, March, 2003.
51. IMF, Global Stability Report, April, 2010.
52. Jordà, Ò., eta al.,, “Betting the house”, Journal of International Economics, 96(2015), 2–18.
53. Kashyap, Anıl. K. et al., Monetary Policy and Credit Conditions: Evidence from the Composition of External Finance, The American Economic Review, 83(1993), March, 78-98.
54. La Porta, Rafel, et al., “Law and Finance”, Journal of Political Economy, 106 (6) (1998), 1113-1155.
55. Liang, Q, ve Cao, Hua, “Property prices and bank lending in China”, Journal of Asian Economics, 18, No.1, (2007), 63-75.
56. Lizieri, Colin et al., “The Underlying Return-Generating Factors for REIT Returns: An Application of Independent Component Analysis”, Real Estate Economics, 35, No.4 (2007), 569–598.
57. Martins, Francisco V. et al. EU Housing Markets: The Role of Institutional Factors, Working Papers in Real Estate & Planning 04/15, Reading University, 2015.
58. Meen, Geoff. Modelling Spatial Housing Markets: Theory, Analysis and Policy, (New York.: Springer Business Media, 2001)
59. Mian, Atif R. ve Sufi, Amir, House Price Gains and U.S. Household Spending from 2002 to 2006, NBER Working Paper No. 20152, May, 2014.
60. Mishkin, Frederic. S. ve Eakins, Stanley G., Financial Markets and Institutions, Eight Edition, (London, Pearson Education Ltd., 2016).
61. Mody, Aahoka and Sandri, Damiano,. “The Eurozone crisis: how banks and sovereigns came to be joined at the hip”, Economic Policy, 27, No.70 (2012), 199-230.
62. Muellbauer, John ve Murphy, Antony “Housing, Credit and Consumer Expenditure”, Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City, 2007, 267-334.
63. Nobili, Andrea and Zollino, Francesko, “A structural model for the housing and credit market in Italy”, Journal of Housing Economics, 36(2017), June, 73–87.
64. North, Douglas C., Institutions, Institutional Change and Economic Performance, (New York: Cambridge University Press, 1990).
65. North, Douglas.C., “Economic Performance Through Time”, The American Review, 84(3), (1994), 359-368.
66. OECD (2018), https://stats.oecd.org/ (03.01.2018).
67. Öhman, Peter ve Yazdanfar, Darush, “Bank lending and housing prices in Sweden”, International Journal of Housing Markets and Analysis, 11, No.3(2018), 498-519.
68. Oikarinen, Elias, “Interaction between housing prices and household borrowing: The Finnish case”, Journal of Banking & Finance, 33, No.4 (2009), 747–756.
69. Okada, Keusaki, “The interaction effects of financial openness and institutions on international capital flows”, Journal of Macroeconomics, 35(2013), March, 131-143.
70. O’kane, Dominic, “The Link between Eurozone Sovereign Debt and CDS Prices”, EDH EDHEC Risk Institute, January, 2012.
71. Park, Sae W. et al. “Price Run-Up in Housing Markets, Access to Bank Lending and House Prices in Korea”, Journal of Real Estate Finance and Economics, 40, No.3 (2010), 332-367.
72. Punzi, Maria.T., Financial cycles and co-movements between the real economy, finance and asset price dynamics in large-scale crises, FinMaP-Working Papers No. 61, (2016).
73. Qi, Ming ve Zheng, Chengcheng, “What Determinants China’s Mortgage Credit Boom”, Journal of Applied Finance & Banking, 4, No.6 (2014), 19-28
74. Rodrik, Dani, Getting Institutions Right, (2004), https://drodrik.scholar.harvard.edu/publications/getting-institutions-right(11.08.2016).
75. Ryczkowski, Maciej, “Money, credit, house prices and quantitative easing–the wavelet perspective from 1970 to 2016”, Journal of Business Economics and Management, 20, No.3(2019), 546–572.
76. Su et al. “Does money supply drive housing prices in China?”. International Review of Economics and Finance, 60(2019), 85-94.
77. Schwab, Klaus (ed.), The Global Competitiveness Report 2006-2017, World Economic Forum, (Geneva, 2017).
78. Taltavull de La Paz, Paloma ve White, Michael, “Fundamental drivers of house price change: the role of money, mortgages, and migration in Spain and the United Kingdom”, Journal of Property Research, 29, No.4(2012),341-367.
79. Tobin, James, “On the Efficiency of the Financial System”, Lloyds Bank Review, 153(1984), 1-15.
80. Woodridge, Jeffrey, Introductory Econometrics: A Modern Approach, Sixth Edition, (Cengage Learning, the USA, 2016).
81. World Bank, 2018, https://www.worldbank.org/en/publication/gfdr/data/globalfinancial-development-database (20.07.2018).
82. World Bank, 2019 https://www.worldbank.org/en/publication/gfdr/data/globalfinancial-development-database (20.05.2020).
83. Wyman, Mercer O., Financial Integration of European Mortgage Markets, European Mortgage Federation, (Brussels: EMF, 2003).
84. Wyplosz, Charles, Eurozone Crisis. About Public Debt, not Competitiveness, The Graduate Institute for International Relations and Economic Development, 27 August, 2012.
85. Zhu, Bing et al. “Housing market stability, mortgage market structure, and monetary policy: Evidence from the euro area”, Journal of Housing Economics, 37(2017), 1–21.