Role of credit and expectations in house price dynamics

Vipul Bhatt and N Kishor

Finance Research Letters, 2022, vol. 50, issue C

Abstract: Using quarterly data for 18 advanced economies from 1991–2020 we estimate a fixed-effects quantile dynamic panel model and provide evidence for non-linearity in the effects of credit, interest rates and expectations on house price growth. We find that excessive credit buildup negatively impacts house price growth during housing busts, whereas low interest rates and expectations, as measured by past house price growth is associated with housing price booms. Using local projections, we also find evidence that these effects persist over multiple quarters.

Keywords: Housing market; Dynamic panel quantile model; Credit conditions (search for similar items in EconPapers)
JEL-codes: C51 E44 G10 R30 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:50:y:2022:i:c:s1544612322004081

DOI: 10.1016/j.frl.2022.103203

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