Mortgage Market Flexibility and the Transmission of House Price Shocks: A Multi-Country Study

23 Pages Posted: 29 Oct 2015

See all articles by Peter Reusens

Peter Reusens

KU Leuven - Faculty of Economics and Business

Date Written: September 2015

Abstract

This paper assesses how the degree of the mortgage market flexibility alters the effect of a residential house price shock on household credit and GDP. We estimate a panel vector autoregression model for a sample of 16 OECD countries for the period 1985Q1-2012Q4 and we identify a house price shock as an increase in the innovation term of house prices unrelated to the contemporaneous changes in output and inflation. Our results do not support the hypothesis of a stronger household credit and GDP response to a house price shock in countries with a more flexible mortgage market.

Keywords: Household credit, house prices, mortgage market flexibility, panel vector autoregression

JEL Classification: C32, C33, E02, E21, E44, E51, G21, R21, R31

Suggested Citation

Reusens, Peter, Mortgage Market Flexibility and the Transmission of House Price Shocks: A Multi-Country Study (September 2015). Available at SSRN: https://ssrn.com/abstract=2683440 or http://dx.doi.org/10.2139/ssrn.2683440

Peter Reusens (Contact Author)

KU Leuven - Faculty of Economics and Business ( email )

Naamsestraat 69
Leuven, B-3000
Belgium

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