美元融资与住房市场：非美国全球银行的作用

Dollar funding and housingmarkets: the role of non-USglobal banks by Torsten Ehlers, Mathias Hoffmann and AlexanderRaabe Monetary and Economic Department February 2026 JEL classification: F34, F36, G15, G21 Keywords:house prices,synchronization,US dollarfunding,global US dollar cycle,US treasury basis,convenienceyield,global imbalances,capital flows,global banks, global banking network BISWorking Papers are written by members of the Monetary and EconomicDepartment of the Bank for International Settlements, and from time to time by othereconomists, and are published by the Bank. The papers are on subjects of topicalinterest and are technical in character. The views expressed in this publication arethose of the authors and do not necessarily reflect the views of the BIS or its membercentral banks. This publication is available on the BIS website (www.bis.org). Dollar funding and housing markets: The role of non-US global banks Torsten EhlersMathias HoffmannAlexander Raabe* This version: January 2026 Abstract House prices co-move considerably across countries. We show how non-US global banksand their exposure to US dollar funding conditions help explain this comovement. When thedollar appreciates, mortgage lending and house prices decrease more in borrower countrieswhose non-US creditor banks are more exposed to dollar funding conditions.As US dollarfunding conditions vary, borrowing country pairs with higher joint exposure to US dollar fund-ing conditions via their non-US creditor banks exhibit a higher synchronization of mortgagecredit and house price growth. We capture the exposure to dollar funding conditions by thebilateral treasury basis between the currency of the non-US global creditor banks’ nationalityand the US dollar, a choice that we motivate in a simple value-at-risk model. Our results iden-tify a novel international spillover channel of US dollar funding conditions. Because it worksthrough heterogenous dollar funding exposures among creditors, this new channel is neitherlinked to common-lender exposures nor to currency mismatches on borrower countries’ bal-ance sheets, typically associated with the financial channel of the exchange-rate.Key words:house prices, synchronization, US dollar funding, dollar cycle, US treasury basis, convenience yield, capital flows, global banks, global banking networkJEL classification:F34, F36, G15, G21 1Introduction House prices co-move considerably across countries. Figure 1 shows the pairwise rolling-windowcorrelation of house price growth between 35 advanced and emerging economies in our sample.Average house price synchronization varies substantially over time and peaked in the run-up tothe 2008 Global Financial Crisis, and again in the euro area debt crisis. Importantly, the degree ofsynchronization varies significantly across country pairs as measured by the interquartile range. Understanding international house price synchronization is highly policy-relevant.In mostcountries, housing wealth represents the largest component of net household wealth and is thesingle most important collateralizable asset. Identifying the drivers of the international synchro-nization of house prices is therefore paramount to understanding macro-financial linkages andfinancial stability at the global level. We show that the variation in US dollar funding conditions drives the international synchro-nization of house prices. House price growth becomes synchronized as any two countries’ housingmarkets are jointly exposed to US dollar funding variations through non-US global banks’ lend-ing to these countries.This is what we call “dollar co-dependence”.We show that this dollarco-dependence is the key link between US dollar funding conditions and housing markets world-wide, explaining the time and cross-country variation of house price synchronization (Figure 1). Dollar co-dependence combines two linkages, which reflect the structure of the global dollarbanking network: global banks’ sensitivity to dollar funding conditions, and borrowing coun-try pairs’ dependence on credit from global non-US banks.If dollar funding conditions ease,global non-US banks have access to cheaper funding and increase their foreign lending, whichis mostly denominated in US dollars. We show that the additional international lending translatesinto higher mortgage credit in the recipient country and ultimately higher house prices. The mag-nitude of the effect on house prices, however, differs across borrowing countries. The higher thedependence of a borrowing country on foreign lending from global banks, combined with a highersensitivity of their non-US global creditor banks’ to US dollar funding conditions, the stronger isthe effect on mortgage credit and thus house prices. The higher this exposure to dollar fundingconditions for a pair of any two borrowing countries—the higher the dollar co-dependence—thehigher the co-movement of house prices. The first key element of this spillover mechan