Mortgage market flexibility and the transmission of house price shocks: a multi-country study
Ku Leuven
Download Document| Date Published | 2015 |
| Version | |
| Primary Author | P. Reusens |
| Other Authors | |
| Theme | Comparing Housing Finance Systems |
| Country |
Abstract
This paper assesses how the degree of the mortgage market flexibility alters the effect of a residential house price shock on household credit and GDP. We estimate a panel vector autoregression model for a sample of 16 OECD countries for the period 1985Q1-2012Q4 and we identify a house price shock as an increase in the innovation term of house prices unrelated to the contemporaneous changes in output and inflation. Our results do not support the hypothesis of a stronger household credit and GDP response to a house price shock in countries with a more flexible mortgage market.