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Housing Price, Credit, and Output Cycles: How Domestic and External Shocks Impact Lithuania's Credit
Author:
Iacovos Ioannou null

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Series:
IMF Working Papers
Volume/Issue:
Volume 2018: Issue 160
Language:
English
Publication Date:
12 Jul 2018
DOI:
https://doi.org/10.5089/9781484367513.001
ISBN:
9781484367513
ISSN:
1018-5941
Pages:
55
Keywords:
WP; housing price; credit upturn; credit cycle; concordance index; Credit; house prices; business cycle; macro-financial linkages; contagion; output cycle; Lithuania's credit; credit shock; cycle characteristic; housing price upturn; Housing prices; Credit cycles; Global financial crisis of 2008-2009; Baltics; Global
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IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.
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Lithuania’s current credit cycle highlights the strong link between housing prices and credit. We explore this relationship in more detail by analyzing the main features of credit, housing price, and output cycles in Baltic and Nordic countries during1995-2017. We find a high degree of synchronization between Lithuania’s credit and housing price cycles. Panel regressions show a strong correlation between a credit upturn and housing price upturn. Moreover, panel VAR suggests that shocks in housing prices, credit, and output within and outside Lithuania strongly impact Lithuania’s credit.
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Cover IMF Working Papers
IMF Working Papers
ISSN:
1018-5941
Publisher:
International Monetary Fund