THE EXPANSIONARY EFFECTS OF HOUSING CREDIT SUPPLY SHOCKS

Miescu, Mirela Sorina and Motta, Giorgio and Pontiggia, Dario and Rossi, Raffaele (2023) THE EXPANSIONARY EFFECTS OF HOUSING CREDIT SUPPLY SHOCKS. Working Paper. Lancaster University, Department of Economics, Lancaster.

Text (LancasterWP2023_008)
LancasterWP2023_008.pdf - Published Version
Available under License Creative Commons Attribution.
Download (417kB)

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.