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Testing the Global Banking Glut Hypothesis

Maria Teresa Punzi () and Karlo Kauko

No 194, Department of Economics Working Paper Series from WU Vienna University of Economics and Business

Abstract: This paper presents VAR results on the recent economic history of the U.S and focuses on the dependence of U.S. macrofinancial variables on international capital flows. Both gross and net flows are included in the analysis. The results indicate that cross-border funding has affected the build-up in the U.S. housing market irrespective of how these flows are defined and measured. Both the savings glut hypothesis and the banking glut hypothesis are supported by these findings. However, net banking flows appear to explain the higher volatility in the increase in house prices as well as the mortgage loan boom. (authors' abstract)

Keywords: Global Banking Glut; Global Savings Glut; Cross-Border Banking Transactions; House Prices; Mortgage Loans; VAR model; USA; Internationale Kapitalbewegung; Kreditgeschäft; Grenzüberschreitende Verflechtung; Immobilienmarkt; Preisentwicklung; Hypothekenkredit (search for similar items in EconPapers)
Date: 2015-03
New Economics Papers: this item is included in nep-ifn and nep-ure
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Journal Article: Testing the global banking glut hypothesis (2015) Downloads
Working Paper: Testing the Global Banking Glut Hypothesis (2015) Downloads
Working Paper: Testing the global banking glut hypothesis (2015) Downloads
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