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Global liquidity, house prices and policy responses

Banti, Chiara and Phylaktis, Kate (2019) 'Global liquidity, house prices and policy responses.' Journal of Financial Stability, 43. 79 - 96. ISSN 1572-3089

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Abstract

The paper investigates the impact of global liquidity on house prices around the world using a novel proxy measured by the funding availability to global banks in the main financial centers. We find supporting evidence that global conditions from the financial centers are transmitted to local banks through bank flows. Focusing on the repo markets in the US, Europe, and the UK, over the period 2000-2014 and using a panel VAR, we find that liquidity shocks impact house prices in both emerging and advanced economies. However, countries’ exposure to liquidity shocks can be mitigated by monetary policy, and by various general and house market specific macroprudential policies. We document strikingly different effectiveness of these policies in advanced and emerging markets.

Item Type: Article
Uncontrolled Keywords: Global liquidity, House prices, repos, macroprudential policies
Subjects: H Social Sciences > HG Finance
Divisions: Faculty of Social Sciences > Essex Business School
Faculty of Social Sciences > Essex Business School > Essex Finance Centre
Depositing User: Elements
Date Deposited: 06 Jun 2019 14:24
Last Modified: 25 Jun 2019 12:15
URI: http://repository.essex.ac.uk/id/eprint/24766

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