Working Paper
House prices and credit constraints: making sense of the U.S. experience
Abstract: Most U.S. house price models break down in the mid-2000s due to the omission of exogenous changes in mortgage credit supply (associated with the subprime mortgage boom) from house price-to-rent ratio and inverted housing demand models. Previous models lack data on credit constraints facing first-time homebuyers. Incorporating a measure of credit conditions?the cyclically adjusted loan-to-value ratio for first-time buyers?into house price-to-rent ratio models yields stable long-run relationships, more precisely estimated effects, reasonable speeds of adjustment and improved model fits.
Keywords: Housing - Prices; Subprime mortgage; Credit; Rent;
Access Documents
File(s):
File format is application/pdf
https://www.dallasfed.org/~/media/documents/research/papers/2011/wp1103.pdf
Description: Full text
Bibliographic Information
Provider: Federal Reserve Bank of Dallas
Part of Series: Working Papers
Publication Date: 2011
Number: 1103
Note: Published as: Duca, John V., John Muellbauer and Anthony Murphy (2011), "House Prices and Credit Constraints: Making Sense of the U.S. Experience," The Economic Journal 121 (552): 533-551.