Testing the Global Banking Glut Hypothesis

Punzi, Maria Teresa and Kauko, Karlo (2015) Testing the Global Banking Glut Hypothesis. Department of Economics Working Paper Series, 194. WU Vienna University of Economics and Business, Vienna.

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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)

Item Type: Paper
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
Classification Codes: RVK QM 352, QT 360; JEL F32, F33, F34
Divisions: Departments > Volkswirtschaft
Depositing User: Claudia Tering-Raunig
Date Deposited: 19 Mar 2015 09:55
Last Modified: 22 Oct 2019 00:41
URI: https://epub.wu.ac.at/id/eprint/4494

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