Working papers, Department of Economics, WU (Wirtschaftsuniversität Wien)
Maria Teresa Punzi
Testing the Global Banking Glut Hypothesis
() and Karlo Kauko
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.
Keywords: Global Banking Glut, Global Savings Glut, Cross-Border Banking Transactions, House Prices, Mortgage Loans, VAR model; (follow links to similar papers)
JEL-Codes: F32,; F33,; F34; (follow links to similar papers)
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