House Prices and Credit Constraints: Making Sense of the US Experience

• 成果类型: Article
• 署名作者: Duca, John V.; Muellbauer, John; Murphy, Anthony
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - Dallas; Southern Methodist University
• 刊物名称: ECONOMIC JOURNAL
• ISSN/ISSBN: 0013-0133
• DOI: 10.1111/j.1468-0297.2011.02424.x
• 发表日期: 2011
• 页码: 533-551
• 关键词: long-run relationship; cointegration; income

摘要

Most US house price models break down in the mid-2000s, due to the omission of exogenous changes in mortgage credit supply (associated with the sub-prime mortgage boom) from house price-to-rent ratio and inverted housing demand models. Previous models lack data on credit constraints facing first-time home-buyers. Incorporating a measure of credit conditions - the cyclically adjusted loan-to-value ratio for first-time buyers - into house price-to-rent ratio models yields stable long-run relationships, more precisely estimated effects, reasonable speeds of adjustment and improved model fits.