EconPapers    
Economics at your fingertips  
 

THE EXPANSIONARY EFFECTS OF HOUSING CREDIT SUPPLY SHOCKS

Mirela Sorina Miescu, Giorgio Motta, Dario Pontiggia and Raffaele Rossi

No 399832231, Working Papers from Lancaster University Management School, Economics Department

Abstract: This paper studies the macroeconomic effects of exogenous changes in housing credit supply. We identify the credit supply shock with a narrative dataset within a Factor-Augmented VAR. We find that a housing credit supply shock is expansionary in the housing sector, the financial markets as well as on main macroeconomic indicators. A one percent increase in the housing credit supply expands Industrial Production up to 1.4 percent and reduces the unemployment rate by 0.4 percentage points.We show that controlling for missing information and anticipation effects is crucial for evaluating the transmission mechanism of housing credit supply shocks on the macroeconomy.

Keywords: Credit Supply Shocks; Mortgage Markets; Factor Augmented VAR (search for similar items in EconPapers)
JEL-codes: E44 E52 G28 (search for similar items in EconPapers)
Date: 2023
New Economics Papers: this item is included in nep-fdg and nep-ure
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.lancaster.ac.uk/media/lancaster-univers ... casterWP2023_008.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:lan:wpaper:399832231

Access Statistics for this paper

More papers in Working Papers from Lancaster University Management School, Economics Department Contact information at EDIRC.
Bibliographic data for series maintained by Giorgio Motta ().

 
Page updated 2025-02-03
Handle: RePEc:lan:wpaper:399832231