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Shifting credit standards and the boom and bust in U.S. house prices

Duca, John V., Muellbauer, John and Murphy, Anthony (2011) Shifting credit standards and the boom and bust in U.S. house prices. SERC Discussion Papers (SERCDP0076). Spatial Economics Research Centre (SERC), London School of Economics and Political Science, London, UK.

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Abstract

The U.S. house price boom has been linked to an unsustainable easing of mortgage credit standards. However, standard time series models of US house prices omit credit constraints and perform poorly in the 2000’s. We incorporate data on credit constraints for first time buyers into a model of US house prices based on the (inverted) demand for housing services. The model yields not only a stable long-run contegrating relationship, a reasonable speed of adjustment, plausible income and price elasticities and an improved fit, but also sensible estimates of tax credit effects and the possible bottom in real house prices.

Item Type: Monograph (Discussion Paper)
Official URL: http://www.spatialeconomics.ac.uk/SERC/publication...
Additional Information: © 2011 The Author
Divisions: Spatial Economics Research Centre
Subjects: H Social Sciences > HC Economic History and Conditions
JEL classification: C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C51 - Model Construction and Estimation
C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C52 - Model Evaluation and Selection
E - Macroeconomics and Monetary Economics > E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit > E51 - Money Supply; Credit; Money Multipliers
G - Financial Economics > G2 - Financial Institutions and Services > G21 - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
R - Urban, Rural, and Regional Economics > R3 - Production Analysis and Firm Location > R31 - Housing Supply and Markets
Sets: Research centres and groups > Spatial Economics Research Centre
Date Deposited: 31 Jul 2014 08:10
Last Modified: 10 May 2019 23:21
Funders: Economic and Social Research Council, Department for Business, Innovation & Skills (BIS), Welsh Assembly Government
URI: http://eprints.lse.ac.uk/id/eprint/58533

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