Credit, House Prices, and Risk Taking by Banks in Norway
Working paper
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http://hdl.handle.net/11250/2507322Utgivelsesdato
2011Metadata
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Sammendrag
Motivated by alternative explanations of the financial crisis (e.g., Acharya and Richardson, 2010; Taylor, 2007), I study, first, repercussions between house price growth and household credit growth in Norway, and second, I analyse the impact of expansionary monetary policy on measures of bank portfolio risk (the risk-taking channel). Using aggregate quarterly data from 1979Q1 to 2010Q3, I find evidence of two-way causality between house price growth and household credit growth, but I find no evidence for the bank risk-taking channel: low key policy rates do not seem to have induced a higher share of troubled loans nor increased our measure of banks’ riskiness.