Template-Type: ReDIF-Paper 1.0
Author-Name: Mirela Sorina Miescu
Author-Name-First: Mirela Sorina
Author-Name-Last: Miescu
Author-Name: Giorgio Motta
Author-Name-First: Giorgio
Author-Name-Last: Motta
Author-Name: Dario Pontiggia
Author-Name-First: Dario
Author-Name-Last: Pontiggia
Author-Name: Raffaele Rossi
Author-Name-First: Raffaele
Author-Name-Last: Rossi
Title: THE EXPANSIONARY EFFECTS OF HOUSING CREDIT SUPPLY SHOCKS
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.
Creation-Date: 2023
File-URL: http://www.lancaster.ac.uk/media/lancaster-university/content-assets/documents/lums/economics/working-papers/LancasterWP2023_008.pdf
File-Format: application/pdf
Number: 399832231
Classification-JEL: E44, E52, G28
Keywords: Credit Supply Shocks, Mortgage Markets, Factor Augmented VAR
Handle: RePEc:lan:wpaper:399832231