Bank-Specific Shocks and House Price Growth in the U.S.

45 Pages Posted: 7 Feb 2017  

Franziska Bremus

German Institute for Economic Research (DIW Berlin)

Thomas Krause

Halle Institute for Economic Research

Felix Noth

Otto-von-Guericke University; Halle Institute for Economic Research

Date Written: February 2017

Abstract

This paper investigates the link between mortgage supply shocks at the bank level and regional house price growth in the U.S. using micro-level data on mortgage markets from the Home Mortgage Disclosure Act for the 1990-2014 period. Our results suggest that bank-specific mortgage supply shocks indeed affect house price growth at the regional level. The larger the idiosyncratic shocks to newly issued mortgages, the stronger is house price growth. We show that the positive link between idiosyncratic mortgage shocks and regional house price growth is very robust and economically meaningful, however not very persistent since it fades out after two years.

Keywords: house prices, idiosyncratic shocks, granularity, credit supply

JEL Classification: E44, G21, R20

Suggested Citation

Bremus, Franziska and Krause, Thomas and Noth, Felix, Bank-Specific Shocks and House Price Growth in the U.S. (February 2017). DIW Berlin Discussion Paper No. 1636. Available at SSRN: https://ssrn.com/abstract=2912793 or http://dx.doi.org/10.2139/ssrn.2912793

Franziska Bremus (Contact Author)

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

Mohrenstra├če 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

Felix Noth

Otto-von-Guericke University ( email )

Universitaetsplatz 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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