House prices and credit constraints: making sense of the U.S. experience
John Muellbauer () and
Anthony Murphy ()
No 1103, Working Papers from Federal Reserve Bank of Dallas
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)
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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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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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