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The Expansionary Effects Of Housing Credit Supply Shocks

Author

Listed:
  • Mirela Sorina Miescu
  • Giorgio Motta
  • Dario Pontiggia
  • Raffaele Rossi

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.

Suggested Citation

  • Mirela Sorina Miescu & Giorgio Motta & Dario Pontiggia & Raffaele Rossi, 2023. "The Expansionary Effects Of Housing Credit Supply Shocks," Working Papers 399832231, Lancaster University Management School, Economics Department.
    • Handle: RePEc:lan:wpaper:399832231
    as

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    File URL: http://www.lancaster.ac.uk/media/lancaster-university/content-assets/documents/lums/economics/working-papers/LancasterWP2023_008.pdf
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Credit Supply Shocks; Mortgage Markets; Factor Augmented VAR;
    All these keywords.

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation

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