From Boom to Bust in the Credit Cycle: The Role of Mortgage Credit

L. Zhang, Dirk Bezemer

Research output: Working paperAcademic

Abstract

Based on newly collected data on 37 economies over 1970-2012, we provide a rich description of 187 credit booms, credit busts and other episodes. We explore the changing composition of bank credit over the credit cycle. In an event analysis we chart changes in capital flows, regulation, productivity and house prices over credit booms and busts. We also ask which credit boom features are connected to a subsequent credit growth contraction. We find that the interaction of mortgage credit growth and increasing house prices is a good predictor of a credit boom. Credit booms in which the share of mortgage credit in total bank credit increases more, are credit booms which are more likely to ‘go bad’, leading to subsequent credit growth contractions.
Original languageEnglish
PublisherSOM Research Report
Volume14025-GEM
Publication statusPublished - 2014
Externally publishedYes

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