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Twin Booms: The Lead–Lag Relation Between Credit and Housing Booms

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  • Chung-Hua Shen
  • Lin Bu
  • Kun-Li Lin
  • Meng-Wen Wu

Abstract

In this study, we examine the causal relation between credit (proxied by credit-to-GDP ratio) and house markets (proxied by house price index) using data of using thirty-six countries for the period 1996–2012. We find a bidirectional causal relation between the two markets using the whole sample. Then, we find that during the non–twin boom period, the results are the same as those using the whole sample. During the twin boom periods, the two markets are not linked using the boom definition of deviation from the trend, and the housing market leads the credit market using the boom definition of the growth rate exceeding a certain 15 percent.

Suggested Citation

  • Chung-Hua Shen & Lin Bu & Kun-Li Lin & Meng-Wen Wu, 2016. "Twin Booms: The Lead–Lag Relation Between Credit and Housing Booms," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 52(2), pages 522-537, February.
    • Handle: RePEc:mes:emfitr:v:52:y:2016:i:2:p:522-537
    DOI: 10.1080/1540496X.2016.1110470
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    Cited by:

    1. Pradhan, Rudra P. & Hall, John H. & du Toit, Elda, 2021. "The lead–lag relationship between spot and futures prices: Empirical evidence from the Indian commodity market," Resources Policy, Elsevier, vol. 70(C).

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