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Banking integration and house price co-movement

Author(s)
Landier, Augustin; Sraer, David; Thesmar, David Jean Joseph
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Alternative title
Banking Integration and House Price Co-movement
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Creative Commons Attribution-NonCommercial-NoDerivs License http://creativecommons.org/licenses/by-nc-nd/4.0/
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Abstract
The correlation in house price growth across US states increased steadily between 1976 and 2000. This paper shows that the contemporaneous geographic integration of the US banking market, via the emergence of large banks, was a primary driver of this phenomenon. To this end, we first theoretically derive an appropriate measure of banking integration across state pairs and show that house price growth correlation is strongly related to this measure of financial integration. Our instrumental variable estimates suggest that banking integration can explain up to one-fourth of the rise in house price correlation over this period. Keywords: Financial integration; Co-movement; House prices
Date issued
2017-07
URI
https://hdl.handle.net/1721.1/122351
Department
Sloan School of Management
Journal
Journal of Financial Economics
Publisher
Elsevier BV
Citation
Landier, Augustin et al. "Banking integration and house price co-movement." Journal of Financial Economics 125, 1 (July 2017): 1-25 © 2017 Elsevier
Version: Author's final manuscript
ISSN
0304-405X

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