What drove the 20 03-20 06 house price boom and subsequent collapse? Disentangling competing explanations *

• 成果类型: Article
• 署名作者: Griffin, John M.; Kruger, Samuel; Maturana, Gonzalo
• 署名单位: University of Texas System; University of Texas Austin; Emory University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2020.06.014
• 发表日期: 2021
• 页码: 1007-1035
• 关键词: FINANCIAL CRISIS; House price growth; Credit supply; Mortgage misreporting; Housing demand

摘要

Ten years after the financial crisis, the central question of what explains the rise and fall in house prices remains unresolved. We provide a unified framework to examine four excess credit supply variables and three speculation variables that have been proposed in the literature. Credit supply variables, particularly subprime share and worse originator share, strongly relate to future zip-code-level house price changes in the boom and bust, whereas none of the speculation variables consistently relate to house prices within MSAs. Pre-trends, supply elasticity, and depressed areas suggest these relations are not driven by lenders anticipating house price growth. (c) 2020 The Authors. Published by Elsevier B.V. This is an open access article under the CC BY license. ( http://creativecommons.org/licenses/by/4.0/ )