Banking integration and house price co-movement

Augustin Landier, David Sraer and David Thesmar

Journal of Financial Economics, 2017, vol. 125, issue 1, 1-25

Abstract: 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.

Keywords: Financial integration; Co-movement; House prices (search for similar items in EconPapers)
JEL-codes: F65 G21 R30 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (29)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0304405X17300375
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Banking integration and house price comovement (2017)
Working Paper: Banking Integration and House Price Comovement (2014)
Working Paper: Banking Integration and House Price Comovement (2013)
Working Paper: Banking Integration and House Price Comovement (2013)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jfinec:v:125:y:2017:i:1:p:1-25

DOI: 10.1016/j.jfineco.2017.03.001

Access Statistics for this article

Journal of Financial Economics is currently edited by G. William Schwert

More articles in Journal of Financial Economics from Elsevier
Bibliographic data for series maintained by Catherine Liu ().