ERN: Microeconometric Studies of Housing Markets (Topic)最新文献_第10页

The Exposure of Mortgage Borrowers to Interest Rate Risk, Income Risk and House Price Risk – Evidence from Swiss Loan Application Data 抵押贷款借款人对利率风险、收入风险和房价风险的暴露——来自瑞士贷款申请数据的证据

ERN: Microeconometric Studies of Housing Markets (Topic) Pub Date : 2014-12-02 DOI: 10.2139/ssrn.2608823

Martin Brown, B. Guin

引用次数: 1

Monetary Policy Pass-Through: Household Consumption and Voluntary Deleveraging 货币政策传递:家庭消费与自愿去杠杆化

ERN: Microeconometric Studies of Housing Markets (Topic) Pub Date : 2014-11-25 DOI: 10.2139/ssrn.2489793

Marco Di Maggio, A. Kermani, Rodney Ramcharan

{"title":"Monetary Policy Pass-Through: Household Consumption and Voluntary Deleveraging","authors":"Marco Di Maggio, A. Kermani, Rodney Ramcharan","doi":"10.2139/ssrn.2489793","DOIUrl":"https://doi.org/10.2139/ssrn.2489793","url":null,"abstract":"Do households bene…t from expansionary monetary policy? We investigate how indebted households'consumption and saving decisions are aected by anticipated changes in monthly interest payments. We focus on borrowers with adjustable rate mortgages originated between 2005 and 2007 featuring an automatic reset of the interest rate after …ve years. The monthly payment due from the average borrower falls by 52 percent ($900) upon reset, resulting in an increase in disposable income totaling tens of thousands of dollars over the remaining life of the mortgage. We uncover three patterns. First, the average household increases monthly car purchases by 40 percent ($150) upon reset. Second, this expansionary eect is attenuated by the borrowers'voluntary deleveraging, as a signi…cant fraction of the increased income is deployed to accelerate debt repayment. Third, the marginal propensity to consume is signi…cantly higher for low income and underwater borrowers. To complement these household-level …ndings, we employ county-level data to provide evidence that consumption responded more to a reduction in short-term interest rates in counties with a larger fraction of adjustable rate mortgage debt. Our results shed light on the income channel of monetary policy as well as the role of debt rigidity in reducing the eectiveness of monetary policy.","PeriodicalId":12014,"journal":{"name":"ERN: Microeconometric Studies of Housing Markets (Topic)","volume":"9 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2014-11-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"73047818","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 114

주택가격채널: 거시경제에 미치는 영향을 중심으로 (House Price Channel: Effects of House Prices on Macroeconomy) 住宅价格渠道:以对宏观经济的影响为中心(House Price Channel: Effects of House Prices on Macroeconomy)

ERN: Microeconometric Studies of Housing Markets (Topic) Pub Date : 2014-11-01 DOI: 10.23895/KDIJEP.2014.36.4.171

I. Song

{"title":"주택가격채널: 거시경제에 미치는 영향을 중심으로 (House Price Channel: Effects of House Prices on Macroeconomy)","authors":"I. Song","doi":"10.23895/KDIJEP.2014.36.4.171","DOIUrl":"https://doi.org/10.23895/KDIJEP.2014.36.4.171","url":null,"abstract":"Korean Abstract: 본 논문은 주택가격이 주택가격채널을 통해 거시경제변수에 어떻게 영향을 미치는지를 분석하였다. 분석의 방법으로는 Iacoviello(2005)의 경제구조와 동태적⋅확률적 일반균형(DSGE) 모형을 한국 데이터에 적용하였다. 본 논문의 분석 결과에 따르면, 주택과 소비 간 보완성이 강할수록 주택가격 상승에 대한 소비의 반응은 더 커지면서 주택과 소비 간 동조 현상이 나타난다. 보완성이 0.42이고 LTV(주택담보대출)가 50%일 때 주택가격의 1% 상승은 소비를 0.057%p 상승시키고, 보완성이 0.52인 경우 1%의 주택가격 상승은 소비를 0.047% 상승시킨다. 한편, 주택가격이 거시경제변수와 연계성을 가지는 주요 통로는 소비의 변화이다. 주택가격이 상승하면 소비가 늘어나고, 이는 다시 거시경제 전반에 걸쳐 영향을 미치게 된다. 한편, 주택과 소비 간 기간내대체탄력성은 0.42로 추정되어 주택과 소비 간 보완성이 존재함을 확인하였다. 이 보완성은 주택가격이 소비에 미치는 영향을 증폭시키는 중요한 역할을 한다.English Abstract: This paper investigates the manner in which house prices affect macroeconomic variables through a house price channel by applying the method of Iacoviello (2005) to Korean data, and establishing a DSGE model with complementarity. This paper found that higher LTV ratio coupled with stronger complementarity results in the co-movement in both consumption and housing. For instance, the results show that when the LTV ratio and complementarity stands respectively at 50% and 0.42, an 1% rise in house prices increases consumption by 0.057%, and when the complementarity parameter increases to 0.52 with LTV remains unchanged at 50%, consumption rises by 0.047% per 1% increase in house prices. An increase in house prices leads credit constraints for borrowers to become more loose as value of a house rises as a collateral. The increase in household credit enables more consumer spending, eventually leading to increased consumption. A key link in which house prices are connected to macroeconomic variables is change in consumption. To put it simply, a rise in house prices leads to an increase in consumption, which consequently impacts the overall macro-economy. At this point, complementarity is found, in that the elasticity of intra-temporal substitution between housing and consumption is estimated at 0.42, which plays an important role in the house price channel by amplifying the effects of house prices on consumption.","PeriodicalId":12014,"journal":{"name":"ERN: Microeconometric Studies of Housing Markets (Topic)","volume":"41 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2014-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"89594375","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 3

House Price Expectations 房价预期

ERN: Microeconometric Studies of Housing Markets (Topic) Pub Date : 2014-10-25 DOI: 10.2139/ssrn.2514729

G. Niu, A. van Soest

引用次数: 15

Recent Trends in the Real Estate Market and its Analysis, 2013, Volume 1 房地产市场近期趋势及其分析，2013年第1卷

ERN: Microeconometric Studies of Housing Markets (Topic) Pub Date : 2014-09-09 DOI: 10.2139/SSRN.2648120

H. Augustyniak, Jacek Laszek, K. Olszewski

引用次数: 2

Housing Price Hikes by Negative Real Interest Rate? A Differencing Model Test on the Housing Markets of Hong Kong and Macau 负实际利率导致房价上涨?香港和澳门房地产市场的差异模型检验

ERN: Microeconometric Studies of Housing Markets (Topic) Pub Date : 2014-07-02 DOI: 10.2139/ssrn.2461600

Chung Yim Edward Yiu

引用次数: 2

A Study of First-Time Homebuyers 对首次购房者的研究

ERN: Microeconometric Studies of Housing Markets (Topic) Pub Date : 2013-10-28 DOI: 10.2139/SSRN.2533963

S. Patrabansh

引用次数: 8

Using Credit Reporting Agency Data to Assess the Link between the Community Reinvestment Act and Consumer Credit Outcomes 使用信用报告机构的数据来评估社区再投资法案和消费者信贷结果之间的联系

ERN: Microeconometric Studies of Housing Markets (Topic) Pub Date : 2013-09-03 DOI: 10.2139/ssrn.2346308

A. Muñoz, Kristin F. Butcher

{"title":"Using Credit Reporting Agency Data to Assess the Link between the Community Reinvestment Act and Consumer Credit Outcomes","authors":"A. Muñoz, Kristin F. Butcher","doi":"10.2139/ssrn.2346308","DOIUrl":"https://doi.org/10.2139/ssrn.2346308","url":null,"abstract":"We use a regression discontinuity design to investigate the effect of the Community Reinvestment Act on consumer credit outcomes using data from the Federal Reserve Bank of New York’s Consumer Credit Panel database (Equifax data) for the years 2004 to 2012. A bank’s activities in census tracts with median family incomes less than 80 percent of the metropolitan statistical area (MSA) median family income count toward a lending institution’s compliance with CRA rules. Assuming census tracts with median incomes at 79.9 percent of the MSA median are the same as census tracts at 80 percent — except for CRA eligibility — discontinuous changes in consumer credit outcomes at that threshold are evidence of the CRA’s impact. We find no statistically significant effects of the CRA on mortgages or foreclosures, either before or after the financial crisis. However, we do find evidence that CRA expanded broad measures of credit market activity: at the CRA threshold, there is a 9 percent increase in the total number of loans, an increase in the number of people covered by the Equifax data, and an increase in the fraction of individuals with a valid risk score. Despite expanded credit activity, which may increase consumers’ risk for adverse outcomes, there is no significant increase in delinquencies at the CRA threshold.","PeriodicalId":12014,"journal":{"name":"ERN: Microeconometric Studies of Housing Markets (Topic)","volume":"35 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2013-09-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"81189764","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 13

Further Evidence on the Spatio-Temporal Model of House Prices in the United States 美国房价时空模型的进一步证据

ERN: Microeconometric Studies of Housing Markets (Topic) Pub Date : 2013-08-24 DOI: 10.2139/ssrn.2828545

B. Baltagi, Jing Li

引用次数: 34

The Boom, the Bust and the Future of Homeownership 房屋所有权的繁荣，萧条和未来

ERN: Microeconometric Studies of Housing Markets (Topic) Pub Date : 2013-08-21 DOI: 10.1111/1540-6229.12075

S. Gabriel, S. Rosenthal

引用次数: 44