Lender-Specific Mortgage Supply Shocks and Macroeconomic Performance in the United States

44 Pages Posted: 18 Mar 2021

See all articles by Franziska Bremus

Franziska Bremus

German Institute for Economic Research (DIW Berlin)

Thomas Krause

Halle Institute for Economic Research

Felix Noth

Otto-von-Guericke-Universität Magdeburg; Halle Institute for Economic Research

Date Written: March 2021

Abstract

This paper provides evidence for the propagation of idiosyncratic mortgage supply shocks to the macroeconomy. Based on micro-level data from the Home Mortgage Disclosure Act for the 1990-2016 period, our results suggest that lender-specific mortgage supply shocks affect aggregate mortgage, house price, and employment dynamics at the regional level. The larger the idiosyncratic shocks to newly issued mortgages, the stronger are mortgage, house price, and employment growth. While shocks at the level of shadow banks significantly affect mortgage and house price dynamics, too, they do not matter much for employment.

Keywords: Credit supply shocks, mortgage market concentration, real effects from housing markets

JEL Classification: E44,G21,R20

Suggested Citation

Bremus, Franziska and Krause, Thomas and Noth, Felix, Lender-Specific Mortgage Supply Shocks and Macroeconomic Performance in the United States (March 2021). DIW Berlin Discussion Paper No. 1936, Available at SSRN: https://ssrn.com/abstract=3806335

Franziska Bremus (Contact Author)

German Institute for Economic Research (DIW Berlin) ( email )

Mohrenstraße 58
Berlin, 10117
Germany

Thomas Krause

Halle Institute for Economic Research ( email )

P.O. Box 11 03 61
Kleine Maerkerstrasse 8
D-06018 Halle, 06108
Germany

HOME PAGE: http://sites.google.com/site/thomaskrauseresearch/

Felix Noth

Otto-von-Guericke-Universität Magdeburg ( email )

Universitätspl. 2
PSF 4120
Magdeburg, D-39106
Germany

Halle Institute for Economic Research

P.O. Box 11 03 61
Kleine Maerkerstrasse 8
Halle, 06108
Germany

HOME PAGE: http://www.iwh-halle.de/asp/person.asp?fnh&Lang=e&Abteilung=fin

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