IDEAS home Printed from https://ideas.repec.org/a/eee/ecofin/v84y2026ics1062940826000471.html

Financial demand as a driver of U.S. housing macro-dynamics: a structural VAR approach, 1996–2019

Author

Listed:
  • Tori, Daniele
  • Caverzasi, Eugenio

Abstract

The U.S. financial system has undergone a structural transformation, with mortgage-backed securities (MBS) evolving from tools to support homeownership into central instruments of financial accumulation. This paper investigates whether demand for MBS has become a driving force in the housing market, rather than a mere outcome of credit expansion. Using a structural vector autoregressive (SVAR) model with quarterly U.S. data (1996–2019), we find that MBS returns (used as a proxy for investor demand) exert a significant and persistent influence on housing prices and new residential construction. Our results suggest that financial dynamics increasingly shape real economic outcomes. The macro perspective adopted allows to bridge among numerous empirical findings at the microlevel pertaining to the link between MBS, credit, and housing market. This research contributes to understanding how the securitization-based financial architecture amplifies housing cycles and reshapes the transmission of monetary and financial shocks.

Suggested Citation

  • Tori, Daniele & Caverzasi, Eugenio, 2026. "Financial demand as a driver of U.S. housing macro-dynamics: a structural VAR approach, 1996–2019," The North American Journal of Economics and Finance, Elsevier, vol. 84(C).
    • Handle: RePEc:eee:ecofin:v:84:y:2026:i:c:s1062940826000471
    DOI: 10.1016/j.najef.2026.102625
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S1062940826000471
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.najef.2026.102625?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to

    for a different version of it.

    More about this item

    Keywords

    ;
    ;
    ;
    ;

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:ecofin:v:84:y:2026:i:c:s1062940826000471. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/inca/620163 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.