Credit supply and house prices: Evidence from mortgage market segmentation

IF 10.4 1区 经济学 Q1 BUSINESS, FINANCE
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引用次数: 0

Abstract

This paper develops a difference-in-differences estimator that uses annual changes in the conforming loan limit and the 80% loan-to-value (LTV) threshold to isolate the impact of easier access to credit on house prices. Houses that become eligible for financing with an 80% LTV conforming loan increase in value by about $1.17 per square foot, controlling for a rich set of characteristics. Our estimates imply a local elasticity of house prices to interest rates below 6, which suggests that interest rates are capitalized into prices to a lesser extent than proposed by studies relying on more aggregate variation.
信贷供应与房价:抵押贷款市场细分的证据
本文开发了一种差分估计方法,利用合格贷款限额和 80% 贷款价值比 (LTV) 门槛的年度变化来分离更容易获得信贷对房价的影响。在对一系列丰富的特征进行控制后,符合 80% 按揭成数合格贷款条件的房屋每平方英尺的价值增加了约 1.17 美元。我们的估算结果表明,当地房价对利率的弹性低于 6,这表明利率在房价中的资本化程度低于依赖更多总体变化的研究。
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来源期刊
CiteScore
15.80
自引率
4.50%
发文量
192
审稿时长
37 days
期刊介绍: The Journal of Financial Economics provides a specialized forum for the publication of research in the area of financial economics and the theory of the firm, placing primary emphasis on the highest quality analytical, empirical, and clinical contributions in the following major areas: capital markets, financial institutions, corporate finance, corporate governance, and the economics of organizations.
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