IMF Working Papers

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

By Iacovos Ioannou

July 12, 2018

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Iacovos Ioannou. Housing Price, Credit, and Output Cycles: How Domestic and External Shocks Impact Lithuania's Credit, (USA: International Monetary Fund, 2018) accessed September 18, 2024

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Summary

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.

Subject: Credit, Credit cycles, Financial crises, Financial sector policy and analysis, Global financial crisis of 2008-2009, Housing prices, Money, Prices

Keywords: Baltics, Business cycle, Concordance index, Contagion, Credit, Credit cycle, Credit cycles, Credit shock, Credit upturn, Cycle characteristic, Global, Global financial crisis of 2008-2009, House prices, Housing price, Housing price upturn, Housing prices, Lithuania's credit, Macro-financial linkages, Output cycle, WP

Publication Details

  • Pages:

    55

  • Volume:

    ---

  • DOI:

    ---

  • Issue:

    ---

  • Series:

    Working Paper No. 2018/160

  • Stock No:

    WPIEA2018160

  • ISBN:

    9781484367513

  • ISSN:

    1018-5941