Housing loans and domestic credit in the Baltic States and Poland: Structural breaks and macroeconomic determinants

Scott Hegerty

Journal of Economics and Management, 2020, vol. 42, issue 4, 48-69

Abstract: Aim/purpose – This study examines the time-series properties of home loans and domestic credit in Poland and the three Baltic countries, first in the univariate sense by identifying structural breaks in the series, and then using a multivariate model to identify the key drivers of loan growth. Design/methodology/approach – Structural break tests are conducted using the method of Bai & Perron (1998), while orthgonalised VARs are used for the macroeconomic model. Findings – The Estonian and Lithuanian home lending growth series have structural breaks in 2007, preceding the onset of the 2008 Global Financial Crisis. Estonian home lending has two additional structural breaks in 2009 and 2013. Neither of the two Polish lending series has any break after the sample begins in 2009, indicating more stability in the country’s markets. In the macroeconomic model, consumer price inflation and real effective exchange-rate appreciations have the largest influence on lending and credit growth, and Poland more affected than the Baltic countries. Research implications/limitations – This study opens the door to future research behind the specific causes of structural breaks in these series. While there is some evidence of an ‘early warning’ before the 2008 crisis, longer data series are needed for Poland and especially in the case of Latvia. Originality/value/contribution – This study offers insight into the lending markets in an area of the world that was significantly impacted by the 2008 crisis. Understanding the behaviour and causes of lending growth will help avoid future problems.

Keywords: Home lending; domestic credit; Poland; Baltics; time series (search for similar items in EconPapers)
JEL-codes: C22 E51 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://doi.org/10.22367/jem.2020.42.03 (text/html)

Related works:
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:vrs:jecman:v:42:y:2020:i:4:p:48-69:n:5

DOI: 10.22367/jem.2020.42.03

Access Statistics for this article

Journal of Economics and Management is currently edited by Ewa Ziemba

More articles in Journal of Economics and Management from Sciendo
Bibliographic data for series maintained by Peter Golla ().