Working Paper: NBER ID: w20501
Authors: Scar Jord; Moritz Schularick; Alan M. Taylor
Abstract: This paper unveils a new resource for macroeconomic research: a long-run dataset covering disaggregated bank credit for 17 advanced economies since 1870. The new data show that the share of mortgages on banks' balance sheets doubled in the course of the 20th century, driven by a sharp rise of mortgage lending to households. Household debt to asset ratios have risen substantially in many countries. Financial stability risks have been increasingly linked to real estate lending booms which are typically followed by deeper recessions and slower recoveries. Housing finance has come to play a central role in the modern macroeconomy.
Keywords: Housing Finance; Business Cycles; Financial Crises; Mortgage Lending
JEL Codes: C14; C38; C52; E32; E37; E44; E51; G01; G21; N10; N20
Edges that are evidenced by causal inference methods are in orange, and the rest are in light blue.
| Cause | Effect |
|---|---|
| increased mortgage lending (G21) | increase in credit-to-GDP ratios (F65) |
| rising household debt (G51) | increased financial fragility (F65) |
| mortgage lending booms (G21) | significant predictors of financial crises (G01) |
| increase in mortgage lending (G21) | increase in overall bank credit growth (G21) |
| increased leverage ratios (G32) | increased financial instability (F65) |