House prices and credit constraints: making sense of the U.S. experience

John Duca, John Muellbauer and Anthony Murphy (anthony.murphy@dal.frb.org)

No 1103, Working Papers from Federal Reserve Bank of Dallas

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 (search for similar items in EconPapers)
Pages: 29 pages
Date: 2011
New Economics Papers: this item is included in nep-ban, nep-bec and nep-ure
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.
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Citations: View citations in EconPapers (153)

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Related works:
Journal Article: House Prices and Credit Constraints: Making Sense of the US Experience (2011)
Working Paper: House Prices and Credit Constraints: Making Sense of the U.S. Experience (2011)
Working Paper: House Prices and Credit Constraints: Making Sense of the US Experience (2011)
Working Paper: House prices and credit constraints: making sense of the U.S. experience (2011)
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