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Mortgage market flexibility and the transmission of house price shocks: a multi-country study

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  • Peter Reusens

Abstract

This paper assesses how the degree of the mortgage market flexibility alters the effect of a residential house price shock on household credit and GDP. We estimate a panel vector autoregression model for a sample of 16 OECD countries for the period 1985Q1-2012Q4 and we identify a house price shock as an increase in the innovation term of house prices unrelated to the contemporaneous changes in output and inflation. Our results do not support the hypothesis of a stronger household credit and GDP response to a house price shock in countries with a more flexible mortgage market.

Suggested Citation

  • Peter Reusens, 2015. "Mortgage market flexibility and the transmission of house price shocks: a multi-country study," Working Papers of Department of Decision Sciences and Information Management, Leuven 510715, KU Leuven, Faculty of Economics and Business (FEB), Department of Decision Sciences and Information Management, Leuven.
    • Handle: RePEc:ete:kbiper:510715
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