Cross-Border Bank Flows, Funding Liquidity and House Prices

37 Pages Posted: 2 Jun 2016

See all articles by Kate Phylaktis

Kate Phylaktis

City University London - Sir John Cass Business School

Chiara Banti

University of Essex

Date Written: June 2, 2016

Abstract

The paper investigates the impact of global liquidity, proxied by funding liquidity, on house prices around the world. Focusing on the repo markets in US, Europe, UK and Japan, we document that changes in liquidity are related to cross-border bank flows and affect house prices. Highlighting the importance of looking beyond the US, we find that the liquidity effect depends on where liquidity has originated. Moreover, there is evidence of important banking and financial channels for liquidity shocks to house prices, especially in emerging markets. The exposure of house prices to liquidity shocks may be contained by certain country characteristics and policies.

Keywords: global liquidity, house prices, repos

Suggested Citation

Phylaktis, Kate and Banti, Chiara, Cross-Border Bank Flows, Funding Liquidity and House Prices (June 2, 2016). Available at SSRN: https://ssrn.com/abstract=2788695 or http://dx.doi.org/10.2139/ssrn.2788695

Kate Phylaktis (Contact Author)

City University London - Sir John Cass Business School ( email )

106 Bunhill Row
London, EC1Y 8TZ
United Kingdom
+44 20 70408735 (Phone)
+44 20 70408881 (Fax)

HOME PAGE: http://www.cass.city.ac.uk/faculty/k.phylaktis/

Chiara Banti

University of Essex ( email )

Wivenhoe Park
Colchester, CO4 3SQ
United Kingdom

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