The Effect of House Prices on Household Borrowing: A New Approach

• 成果类型: Article
• 署名作者: Cloyne, James; Huber, Kilian; Ilzetzki, Ethan; Kleven, Henrik
• 署名单位: University of California System; University of California Davis; University of Chicago; University of London; London School Economics & Political Science; Princeton University
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282
• DOI: 10.1257/aer.20180086
• 发表日期: 2019
• 页码: 2104-2136
• 关键词: HOME EQUITY; consumption evidence; financial wealth; monetary-policy; constraints; shocks; elasticity; GROWTH; credit; rates

摘要

We investigate the effect of house prices on household borrowing using administrative mortgage data from the United Kingdom and a new empirical approach. The data contain household-level information on house prices and borrowing in a panel of homeowners, who refinance at regular and quasi-exogenous intervals. The data and setting allow us to develop an empirical approach that exploits house price variation coming from the idiosyncratic and exogenous timing of refinance events around the Great Recession. We present two main results. First, there is a clear and robust effect of house prices on borrowing. Second, the effect of house prices on borrowing can be explained largely by collateral effects. We study the collateral channel through a multivariate and nonparametric heterogeneity analysis of proxies for collateral and wealth effects. (JEL D14, E32, R31)