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Erscheinungsjahr: 
2025
Schriftenreihe/Nr.: 
Working Paper No. 480
Verlag: 
University of Zurich, Department of Economics, Zurich
Zusammenfassung: 
Non-US global banks are an important driver of the international synchronization of house price growth. A loosening (tightening) of US dollar funding conditions leads non-US global banks to expand (contract) their international lending, which is largely denominated in US dollars. This induces a synchronization of lending across borrowing countries, which translates into an international synchronization of house price growth. Borrowing country pairs whose joint exposure to US dollar funding conditions via their non-US creditor banks (dollar co-dependence) is higher, exhibit a higher synchronization of house price growth. Our results identify a novel international spillover channel of US dollar funding conditions, which is not related to common-lender exposures. We show theoretically and empirically that the exposure of non-US global banks to dollar funding conditions is captured by the bilateral treasury basis between the currency of the non-US global creditor banks' headquarters and the US dollar. As these conditions vary over time, borrowing country pairs whose non-US global creditor banks are more exposed to US dollar funding variations exhibit higher house price synchronization.
Schlagwörter: 
house prices
synchronization
US dollar funding
global US dollar cycle
US treasury basis
convenience yield
global imbalances
capital flows
global banks
global banking network
JEL: 
F34
F36
G15
G21
Persistent Identifier der Erstveröffentlichung: 
Dokumentart: 
Working Paper

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