A Online Appendix
A.2 Robustness Checks: New Firm Formation and Housing Price Volatility Across Countries
Table A1: Relative Volatility of House Prices and New Firm Density (1990Q1-2016Q4)
(1) (2) (3) (4) (5) (6) (7)
Ave. New Firm Density 0.0812∗∗ 0.0911∗∗ 0.119∗∗ 0.110∗∗ 0.114∗∗ 0.110∗∗ 0.173∗∗
(2.75) (2.81) (3.30) (3.04) (3.14) (3.05) (3.35) Loan to Purchase Home -0.00849 0.00591 0.0128 0.0185 0.0300 -0.0150
(-0.66) (0.39) (0.82) (1.10) (1.64) (-0.59) Bank Credit-GDP Ratio -0.0105 -0.00691 -0.00905 -0.00713 -0.000639
(-1.64) (-1.04) (-1.29) (-1.01) (-0.07)
Inflation Rate 0.0887 0.0878 0.0772 0.106
(1.63) (1.61) (1.42) (1.12)
Corr(Gl. Liquidity,GDP) -0.718 -0.257 -0.134
(-0.97) (-0.32) (-0.15)
Advanced Econ. -0.709
(-1.47)
Household Credit Share 2.594
(1.65) Constant 1.873∗∗∗ 1.991∗∗∗ 2.380∗∗∗ 1.832∗∗∗ 2.223∗∗ 2.156∗∗ 0.560 (8.43) (7.42) (6.72) (3.78) (3.52) (3.45) (0.52)
AdjustedR2 0.111 0.107 0.137 0.167 0.165 0.186 0.294
Observations 54 51 51 51 51 51 34
t statistics in parentheses
+p <0.10, ∗p <0.05, ∗∗p <0.01, ∗∗∗p <0.001
Sources: World Bank Global Financial Inclusion Database, World Bank Doing Business, World Bank World Development Indicators, IMF International Financial Statistics, Bank of International Settlements. Notes:
The relative volatility of house prices for a given country is computed as the volatility of HP-filtered real house prices divided by the volatility of HP-filtered real GDP for that country, using a smoothing parameter of 1600. The cyclical correlation between global liquidity supplied by banks and real GDP is computed as the contemporaneous correlation of HP-filtered global liquidity supplied by banks and HP-filtered real GDP, using a smoothing parameter of 1600. See the Data Appendix for details regarding data sources, country sample, and definitions.
Table A2: Relative Volatility of House Prices and New Firm Density (2006Q1-2016Q4)
(1) (2) (3) (4) (5) (6) (7)
Ave. New Firm Density 0.0664∗ 0.0677∗ 0.0908∗ 0.0838∗ 0.0853∗ 0.0833∗ 0.194∗∗∗
(2.32) (2.14) (2.35) (2.18) (2.16) (2.10) (3.71) Loan to Purchase Home -0.000422 0.0102 0.0177 0.0188 0.0254 -0.0233
(-0.03) (0.63) (1.05) (1.06) (1.32) (-0.92) Bank Credit-GDP Ratio -0.00612 -0.00412 -0.00444 -0.00393 0.00308
(-1.04) (-0.69) (-0.71) (-0.62) (0.40)
Inflation Rate 0.612 0.600 0.415 0.417
(1.44) (1.39) (0.87) (0.91)
Corr(Gl. Liquidity,GDP) -0.162 0.108 0.533
(-0.21) (0.13) (0.52)
Advanced Econ. -0.500
(-0.94)
Household Credit Share 2.106
(1.33) Constant 1.836∗∗∗ 1.859∗∗∗ 2.103∗∗∗ 1.429∗ 1.531+ 1.672∗ -0.0192
(8.55) (7.10) (5.98) (2.45) (1.98) (2.12) (-0.02)
AdjustedR2 0.078 0.060 0.061 0.083 0.063 0.060 0.315
Observations 53 50 50 50 50 50 33
t statistics in parentheses
+p <0.10, ∗p <0.05, ∗∗p <0.01, ∗∗∗p <0.001
Sources: World Bank Global Financial Inclusion Database, World Bank Doing Business, World Bank World Development Indicators, IMF International Financial Statistics, Bank of International Settlements. Notes:
The relative volatility of house prices for a given country is computed as the volatility of HP-filtered real house prices divided by the volatility of HP-filtered real GDP for that country, using a smoothing parameter of 1600. The cyclical correlation between global liquidity supplied by banks and real GDP is computed as the contemporaneous correlation of HP-filtered global liquidity supplied by banks and HP-filtered real GDP, using a smoothing parameter of 1600. See the Data Appendix for details regarding data sources, country sample, and definitions.
Table A3: Relative Volatility of House Prices and New Firm Density, New Firm Density 2006 (2000Q1-2016Q4)
(1) (2) (3) (4) (5) (6) (7)
New Firm Density 2006 0.106∗∗ 0.127∗∗ 0.154∗∗ 0.142∗∗ 0.148∗∗ 0.150∗∗ 0.253∗∗∗
(3.02) (3.17) (3.25) (2.96) (3.24) (3.26) (4.35) Loan to Purchase Home -0.0109 0.00277 0.00771 0.0228 0.0296 -0.0408
(-0.68) (0.13) (0.37) (1.09) (1.29) (-1.22) Bank Credit-GDP Ratio -0.00811 -0.00481 -0.0101 -0.00996 -0.00465
(-1.05) (-0.59) (-1.26) (-1.23) (-0.44)
Inflation Rate 0.457 0.187 0.109 -0.0823
(1.20) (0.49) (0.28) (-0.19)
Corr(Gl. Liquidity,GDP) -2.117∗ -1.898∗ -2.109+
(-2.40) (-2.02) (-1.83)
Advanced Econ. -0.434
(-0.71)
Household Credit Share 4.355∗
(2.24) Constant 1.819∗∗∗ 1.948∗∗∗ 2.256∗∗∗ 1.600∗ 3.023∗∗ 3.114∗∗ 1.819 (6.87) (5.92) (5.13) (2.28) (3.39) (3.44) (1.31)
AdjustedR2 0.137 0.146 0.148 0.157 0.239 0.230 0.443
Observations 52 49 49 49 49 49 33
t statistics in parentheses
+p <0.10, ∗p <0.05, ∗∗p <0.01, ∗∗∗p <0.001
Sources: World Bank Global Financial Inclusion Database, World Bank Doing Business, World Bank World Development Indicators, IMF International Financial Statistics, Bank of International Settlements. Notes:
The relative volatility of house prices for a given country is computed as the volatility of HP-filtered real house prices divided by the volatility of HP-filtered real GDP for that country, using a smoothing parameter of 1600. The cyclical correlation between global liquidity supplied by banks and real GDP is computed as the contemporaneous correlation of HP-filtered global liquidity supplied by banks and HP-filtered real GDP, using a smoothing parameter of 1600. See the Data Appendix for details regarding data sources, country sample, and definitions.
Table A4: Relative Volatility of House Prices and New Firm Density, Alternative Specifications (2000Q1-2016Q4)
(1) (2) (3) (4) (5)
Ave. New Firm Density 0.132∗∗ 0.119∗∗ 0.122∗ 0.135∗∗ 0.129∗ (2.93) (3.08) (2.53) (2.92) (2.65) Loan to Purchase Home 0.0241 0.0307 0.0175 0.0252 0.0258 (1.13) (1.48) (0.76) (1.05) (1.07) Bank Credit-GDP Ratio -0.00965 -0.00666 -0.00840 -0.00692
(-1.26) (-0.80) (-1.00) (-0.84)
Inflation Volatility 0.670∗ 0.638+ (2.07) (2.00)
Corr(Gl. Liquidity,GDP) -2.115∗ -1.360 -2.033∗ -2.063∗ -2.456∗ (-2.47) (-1.59) (-2.18) (-2.26) (-2.42) ave log gdppc ppp 2000 2016 -0.859+
(-1.80)
Inflation Rate 0.554 0.282 0.516
(1.67) (0.72) (1.55)
Own-Account-Worker Share -0.0114 -0.00109
(-0.53) (-0.05)
Informal Sector Size 0.00929
(0.37)
Pop. Growth -0.333
(-1.07)
Constant 2.784∗∗∗ 10.25∗ 2.804∗ 2.545∗ 2.945∗∗
(3.98) (2.30) (2.62) (2.04) (2.73)
AdjustedR2 0.229 0.256 0.193 0.169 0.195
Observations 51 51 51 50 51
t statistics in parentheses
+p <0.10, ∗p <0.05, ∗∗p <0.01, ∗∗∗p <0.001
Sources: World Bank Global Financial Inclusion Database, World Bank Doing Business, World Bank World Development Indicators, IMF International Financial Statistics, Bank of International Settlements. Notes:
The relative volatility of house prices for a given country is computed as the volatility of HP-filtered real house prices divided by the volatility of HP-filtered real GDP for that country, using a smoothing parameter of 1600. The cyclical correlation between global liquidity supplied by banks and real GDP is computed as the contemporaneous correlation of HP-filtered global liquidity supplied by banks and HP-filtered real GDP, using a smoothing parameter of 1600. See the Data Appendix for details regarding data sources, country sample, and definitions.
Table A5: Relative Volatility of House Prices and New Firm Density, Data in First Differences (2000Q1-2016Q4)
(1) (2) (3) (4) (5) (6) (7)
Ave. New Firm Density 0.0578∗ 0.0695∗∗ 0.0825∗∗ 0.0800∗∗ 0.0902∗∗ 0.0912∗∗ 0.147∗∗
(2.45) (2.76) (2.79) (2.70) (3.02) (3.05) (3.63) Loan to Purchase Home -0.00704 0.000253 0.00302 0.00301 0.0102 -0.0122
(-0.71) (0.02) (0.22) (0.23) (0.67) (-0.61) Bank Credit-GDP Ratio -0.00416 -0.00275 -0.00366 -0.00384 0.00186
(-0.85) (-0.54) (-0.73) (-0.76) (0.31)
Inflation Rate 0.209 0.293 0.232 0.359
(1.01) (1.40) (1.06) (1.38)
Corr(Gl. Liquidity,GDP) 1.045 1.201+ 1.544∗
(1.62) (1.80) (2.08)
Advanced Econ. -0.364
(-0.94)
Household Credit Share 0.942
(0.77) Constant 1.688∗∗∗ 1.793∗∗∗ 1.941∗∗∗ 1.620∗∗∗ 1.307∗∗ 1.433∗∗ 0.261 (9.49) (8.60) (7.12) (3.88) (2.87) (3.02) (0.37)
AdjustedR2 0.086 0.102 0.096 0.097 0.127 0.125 0.253
Observations 54 51 51 51 51 51 34
t statistics in parentheses
+p <0.10, ∗p <0.05, ∗∗p <0.01, ∗∗∗p <0.001
Sources: World Bank Global Financial Inclusion Database, World Bank Doing Business, World Bank World Development Indicators, IMF International Financial Statistics, Bank of International Settlements. Notes:
The relative volatility of house prices is computed as the volatility of real house prices in first differences divided by the volatility of real GDP in first differences. The cyclical correlation between global liquidity supplied by banks and real GDP is computed as the contemporaneous correlation of global liquidity supplied by banks in first differences and real GDP in first differences. See the Data Appendix for details regarding data sources, country sample, and definitions.
Table A6: Relative Volatility of House Prices and New Firm Density, Cesa-Bianchi et al. (2015) House Price Data (2000Q1-2012Q4)
(1) (2) (3) (4) (5) (6) (7)
Ave. New Firm Density 0.0628 0.0913+ 0.119∗ 0.112∗ 0.110∗ 0.108∗ 0.202∗ (1.43) (1.94) (2.38) (2.32) (2.26) (2.20) (2.49) Loan to Purchase Home -0.0291+ -0.00598 0.000304 -0.00322 0.00726 -0.0502
(-1.72) (-0.26) (0.01) (-0.14) (0.28) (-1.25) Bank Credit-GDP Ratio -0.0128 -0.00777 -0.00631 -0.00587 -0.00489
(-1.49) (-0.90) (-0.70) (-0.65) (-0.38)
Inflation Rate 0.677+ 0.696∗ 0.615+ 0.258
(2.00) (2.03) (1.73) (0.33)
Corr(Gl. Liquidity,GDP) 0.702 1.011 0.790
(0.66) (0.90) (0.51)
Advanced Econ. -0.582
(-0.92)
Household Credit Share 3.322
(1.38) Constant 2.265∗∗∗ 2.633∗∗∗ 3.120∗∗∗ 2.051∗∗ 1.621 1.707+ 1.023 (7.28) (7.18) (6.40) (2.88) (1.67) (1.75) (0.50)
AdjustedR2 0.021 0.063 0.088 0.148 0.136 0.133 0.129
Observations 50 47 47 47 47 47 32
t statistics in parentheses
+p <0.10, ∗p <0.05, ∗∗p <0.01, ∗∗∗p <0.001
Sources: World Bank Global Financial Inclusion Database, World Bank Doing Business, World Bank World Development Indicators, IMF International Financial Statistics, Cesa-Bianchi et al. (2015). Notes: The relative volatility of house prices for a given country is computed as the volatility of HP-filtered real house prices divided by the volatility of HP-filtered real GDP for that country, using a smoothing parameter of 1600. The cyclical correlation between global liquidity supplied by banks and real GDP is computed as the contemporaneous correlation of HP-filtered global liquidity supplied by banks and HP-filtered real GDP, using a smoothing parameter of 1600. See the Data Appendix for details regarding data sources, country sample, and definitions.