Bubbles and Crises: The Role of House Prices and Credit

This paper exploits a quarterly panel data set for 16 OECD countries over the period 1975q1–2013q2 to explore the importance of house prices and credit in affecting the likelihood of a financial crisis. Estimating a set of multivariate logit models, we find that booms in credit to both households and non-financial enterprises are important to account for when evaluating the stability of the financial system. In addition, we find that global housing market developments have predictive power for domestic financial stability. Finally, econometric measures of bubble-like behavior in housing and credit markets enter with positive and highly significant coefficients. Specifically, we find that the probability of a crisis increases markedly when bubble-like behavior coincides with high leverage.publishedVersio

Bubbles and Crises: The Role of House Prices and Credit

This paper exploits a quarterly panel data set for 16 OECD countries over the period 1975q1–2013q2 to explore the importance of house prices and credit in affecting the likelihood of a financial crisis. Estimating a set of multivariate logit models, we find that booms in credit to both households and non-financial enterprises are important to account for when evaluating the stability of the financial system. In addition, we find that global housing market developments have predictive power for domestic financial stability. Finally, econometric measures of bubble-like behavior in housing and credit markets enter with positive and highly significant coefficients. Specifically, we find that the probability of a crisis increases markedly when bubble-like behavior coincides with high leverage

Historical Monetary Statistics for Norway 1819–2003

This book presents historical data on a (small) number of macroeconomic variables relevant to monetary policy analysis for the period 1819-2003. The motivation of the project is to enhance our understanding of the long lines of developments in two areas of utmost importance to central banks - those of fostering price stability and financial stability. Norges Bank aims at stabilizing consumer price inflation at 2.5 per cent within a flexible inflation targeting regime. The promotion of financial stability aims at analyzing and identifying factors that foster sound financial developments through the monitoring of economic developments in the household sector and the corporate sector as well as for banks and other financial intermediaries

From Financial Crash to Debt Crisis

Newly developed historical time series on public debt, along with data on external debts, allow a deeper analysis of the debt cycles underlying serial debt and banking crises. We test three related hypotheses at both "world" aggregate levels and on an individual country basis. First, external debt surges are an antecedent to banking crises. Second, banking crises (domestic and those in financial centers) often precede or accompany sovereign debt crises; we find they help predict them. Third, public borrowing surges ahead of external sovereign default, as governments have "hidden domestic debts" that exceed the better documented levels of external debt. (JEL E44, F34, F44, G01, H63, N20)