THE ROLE OF HOUSE PRICES IN THE MONETARY TRANSMISSION MECHANISM ACROSS EUROPEAN COUNTRIES

This paper provides a discussion of the ‘housing market’ channels of the monetary transmission mechanism and offers some evidence of institutional differences in the European housing and mortgage markets. Using a number of Vector Autoregressive models, estimated individually for nine European countries over the pre‐EMU period, we find that house prices are significantly affected by interest rate shocks. The relative role of these interest‐rate‐induced fluctuations in house prices for private consumption is then investigated. We show that house prices may enhance the effects of interest rate shocks on consumer spending in those economies where housing and mortgage markets are relatively more developed and competitive.     

SYSTEMATIC MONETARY POLICY AND THE MACROECONOMIC EFFECTS OF SHIFTS IN RESIDENTIAL LOAN-TO-VALUE RATIOS

What are the macroeconomic consequences of changing aggregate lending standards in residential mortgage markets, as measured by loan-to-value (LTV) ratios? Using a structural vector autoregression (VAR), we find that GDP and business investment increase following an expansionary LTV shock. Residential investment, by contrast, falls after a small initial uptick, a result that depends on the systematic reaction of monetary policy. We show that, historically, the Fed tended to respond to expansionary LTV shocks by raising the monetary policy instrument, and, as a result, mortgage rates increased and residential investment declined. House prices are affected in a similar manner.     

Dynamic Stochastic General EQUILIBRIUM ‐ BASED Assessment of Nonlinear Macroprudential Policies: Evidence from Hong Kong

In the wake of the 2008–2009 global financial crisis, the macroeconomic discussion has returned to the topic of proactive macroprudential policies. The use of loan‐to‐value (LTV) policies to curb booming property markets has long been used by Hong Kong's monetary authorities to actively manage the potential fallout from housing price bubbles. In 2013 the Hong Kong authorities supplemented the LTV policies with property transfer taxes. Here, we also analyse the merits of these tax‐based macroprudential policies in the dynamic stochastic general equilibrium framework. Furthermore, we calibrate the impact of both countercyclical macroprudential policies employed in conjunction with forward guidance. We conclude that both policy approaches can limit the pace of housing price increases. As regards the comparison of LTV and tax‐based measures, it turns out that property acquisition taxes are more effective.     

Housing market dynamics and macroprudential policies

In this paper, we analyze the implications of macroprudential and monetary policies for credit cycles, housing market stability and spillovers to consumption. We consider a countercyclical loan‐to‐value (LTV) policy that responds to a credit‐to‐income ratio, and we compare its effectiveness with a permanent tightening of the LTV ratio and a monetary policy rule that responds to credit. To this end, we construct a dynamic stochastic general equilibrium model with housing market, household debt and collateral constraints, and we estimate it with Canadian data using Bayesian methods. Our study suggests that a countercyclical LTV ratio is a useful policy to reduce spillovers from the housing market into consumption and to lean against housing market boom–bust cycles. It performs better than the permanent tightening of the LTV ratio—a policy that has been used in a number of countries—and the monetary policy rule, both in terms of the stabilization of household indebtedness and spillovers into consumption. Monetary policy that leans against the wind is the least desirable due to its large adverse consequences on the real economy.     

Housing Collateral and the Monetary Transmission Mechanism

In this paper, we quantify the effects of the recent increase in the housing loan‐to‐value ratio (LTV) on the monetary transmission mechanism. We set up a two‐sector dynamic stochastic general equilibrium model with collateral constraints and production of goods and housing. Using Bayesian methods, we quantify the component of the monetary transmission mechanism that is generated by housing collateral. We find that this component is substantial and strongly increasing in the LTV. We conclude that in order to properly understand the monetary transmission mechanism, we need to take into account the effects of housing‐related collateral constraints and their changing nature.     

Wealth effects on the housing markets: Do market liquidity and market states matter?

This paper analyzes the effect of household wealth (including housing and financial wealth) on housing sales and probes their long-run and short-run dynamic relationships. We further examine the short-run effect of financial wealth on housing sales by employing quantile regressions, restricted upon different liquidity (quantile) levels and up-down housing markets, from which the differences between the early and late stages of an uptrend/downtrend can be respectively exhibited. We find that housing wealth, income, and mortgage rates have long-run influences on housing sales. Looking at the short run, we find that housing sales only respond to housing wealth and mortgage rates. When we distinguish the effects of financial wealth on housing sales in up-down housing markets, we note a positive influence of financial wealth on housing sales in down markets, but not in up markets. Particularly, our results show an impact of housing liquidity on the short-run relationships.     

THE PECULIAR ECONOMICS OF HOUSING BUBBLES

Home values increase rapidly during housing bubbles generating large capital gains. High loan‐to‐value (LTV) mortgages secured by expected future home values are one way to take advantage of these capital gains. In this article, we use a simple partial equilibrium consumer theory model to explore the implications of high LTV borrowing. We find that sufficiently large expected house price growth leads to an upward‐sloping budget line when households can obtain high LTV mortgages. In this environment, the demand for housing fits neither the conventional theories of consumer goods nor that of investment goods. In fact, increases in the expected future price of housing may reduce current housing demand, whereas decreases in the effective (current) price may lead to households buying smaller homes. Moreover, high LTV loans reduce the effectiveness of monetary policy, but raise the volatility of aggregate demand. Tighter borrowing standards may help lower demand volatility at the expense of shrinking the economy. (JEL E21, R21, E52)     

After the great recession : financial sophistication and housing leverage

US households face various choices in saving for retirement, with one of the most common decisions related to maintaining or paying off a mortgage. Using the 2010 and 2013 Survey of Consumer Finances, this study investigates the relationship between financial sophistication and mortgage decisions among middle-age households. A Heckman two-stage selection model is employed to investigate two separate decisions: mortgage holding and loan-to-value (LTV) ratios among mortgage holders. Results indicate that financial sophistication is positively associated with carrying a mortgage and higher LTV ratios. These results imply that financially sophisticated households may be using leverage to increase asset returns.     

反式住房抵押贷款在创建公平和谐社会中的作用

反式抵押贷款是一种以房屋所有权作抵押的贷款。它的特殊性在于贷款人是一些拥有完全房屋产权的老人。该项业务的开展,不仅可以扩大优质信贷规模、提高老人生活水平、扩大内需,还可以为我国正在加快实施的廉租房、经适房制度提供源源不断的房源。反式抵押贷款的尽快展开可以有效缓解社会老龄化带来的种种矛盾,因而能够有效促进创建公平和谐社会,促进我国的社会、经济健康发展。     

住房抵押保险的国际比较及其启示

住房抵押保险在发达国家已经发展得非常成熟，而对于我国来讲它仍是一个新兴的、有待发展的保险品种。本文对一些典型的发达国家和地区在住房抵押保险的体系、激励机制和风险控制策略方面进行了探讨和比较，并由此得到对我国住房抵押保险发展具有积极意义的经验和启示。     

Housing price variability: national and local impacts

This article examines the influence of national and local forces on housing prices in 20 local US real estate markets during the recent housing price run-up and decline. We use reduced-form panel data fixed-effects models with robust SEs to determine the impact of national and local effects on housing prices in 20 US cities across time. A national home price index and mortgage rate are used to measure national impacts on the local markets. A mix of socio-economic variables estimates local impacts. We find no results indicating that national trends lack relevance in local markets; however, we find wide support for the additional inclusion of local socio-economic factors in all markets. The findings are consistent with an environment in which national polices and trends influence all markets; however local policymakers and investors can continue to expect geographic differences in market outcomes.     

The impact of housing market disturbances on the US financial system: a pre-crisis analysis

A common critique of the Federal Reserve over the past crisis is that it should have better anticipated the impact of the run-up in home mortgage debt and the subsequent housing market crash on the financial system. As a result, the Federal Reserve should have moved much more quickly to shore up financial markets. Our article tests the hypothesis that the impact of the housing market crash on the financial system could have been anticipated. Using a VAR model along with impulse response functions and variance decompositions, we examine the link between housing market mortgage debt shocks and the financial intermediaries’ credit market behaviour. We find important connections between key macroeconomic variables and the credit behaviour of these financial institutions. However, using the pre-crisis data, we find that housing market debt shocks fail to have an impact on the credit markets accessed by these firms. These results support the notion that the impact of this crisis on the financial system could not have been anticipated given the information available at the time.     

Global imbalances,cross-market linkages,and the financial crisis: A multivariate Markov-switching analysis

Based on multivariate Markov-switching models, this paper presents new results on the interactions between global imbalances, credit spreads, housing markets, macroeconomic variables, commodities and equities during Q1-1987/Q1-2011. We show that rising global imbalances and the uncontrolled development of the US mortgage and housing markets have been deeply destabilizing the economy, with various shocks impacting subsequently equity markets and macroeconomic variables. But we also uncover, surprisingly, that the cross-market linkages with the commodity markets are strong. Finally, we identify that the US housing market lies at the epicenter of the crisis through its multiple and highly significant interactions with the other variables in the system (including the global imbalances). Sub-samples and alternative time series estimates are provided to check the statistical congruency of the various models.     

Mortgage product diversity: responding to consumer demand or protecting lender profit? An asymmetric panel analysis

This article explores determinants of mortgage product diversity for owner-occupied and investment loans in the Australian housing mortgage market. From 2001 to 2012, 65 lenders introduced 1220 mortgage products in Australia. We examine whether the product proliferation was a result of consumer demand or a response to pressure to lower lending rates. We find that consumer demand for mortgages does not have a significant relationship with the number of mortgage products, but that decreases in the policy interest rate are highly significant as an explanatory variable for product proliferation. Such behaviour is consistent with information obfuscation, reducing the ease with which consumers can compare lending rates. Further, the relationship between mortgage products offered and the policy interest rate is asymmetric: decreases in the cash rate are associated with increased mortgage products offered, but increases in the cash rate have a more muted effect on decreasing the number of products.     

Collateral equilibrium,I: a basic framework

Much of the lending in modern economies is secured by some form of collateral: residential and commercial mortgages and corporate bonds are familiar examples. This paper builds an extension of general equilibrium theory that incorporates durable goods, collateralized securities, and the possibility of default to argue that the reliance on collateral to secure loans and the particular collateral requirements chosen by the social planner or by the market have a profound impact on prices, allocations, market structure, and the efficiency of market outcomes. These findings provide insights into housing and mortgage markets, including the subprime mortgage market.     

The efficiency of the Scandinavian banking sector – a wavelet quantile regression analysis

In this article, the Scandinavian housing financing market is analysed in order to determine whether the interest rate price-discovery processes of Denmark, Norway and Sweden are efficient. Based on wavelet quantile regression analysis, we find systematic positive asymmetric price transmission (APT) inefficiencies. We conclude that there is a very high propensity for mortgage lenders to directly increase its customers’ mortgage interest rates subsequently to an increase in its borrowing costs. However, after a corresponding borrowing cost decrease, the same mortgage lenders are very slow to decrease its customers’ mortgage rates. These positive coefficients for so-called APT effects are found in all Scandinavian countries, even if the coefficients for Norway were not statistically significant. Wavelet quantile regression analysis, with a focus on the relevant higher percentiles, is easily motivated since the mortgage rates are adjusted very infrequently. Moreover, wavelet decomposition allows a robust analysis at different time frequency scales, while simultaneously controlling for nonstationary trends, autocorrelation and structural breaks. Except for the still positive but yet insignificant and inconclusive coefficients for Norway, the result is very clear-cut. Regardless of which wavelet scaling decomposition or quantile coefficient that is studied – positive APT effects are clearly identified and confirmed on the Scandinavian mortgage market.     

Bayesian analysis of Hong Kong's housing price dynamics

This paper uses a Bayesian vector‐autoregressive model with sign restrictions to estimate the underlying drivers of Hong Kong's housing price dynamics in the short run. While existing studies are useful in analysing housing valuation, little attention has been paid to the short‐run dynamics. In contrast, the present paper identifies short‐run drivers of housing prices using structural identification with theoretical underpinnings. We find that among the shocks that we have identified, bank lending shock and housing supply shock were the main factors affecting Hong Kong's housing prices. Low mortgage rates were another key factor that led to the significant increase in housing prices after the global financial crisis.     

农民住房财产权抵押能否激发农村金融市场*——基于银行贷款数据的实证分析

扩展抵押品范围是缓解农村金融困境的重要途径。在这一思路下，农民住房财产权抵押被寄予厚望，成为近年来农村政策改革的重要方向。本文使用2010—2016年1 024家农信社和农商行的数据，利用2015年12月国务院在天津市蓟州区等59个试点县（市、区）开展为期两年的农民住房财产权抵押贷款试点这一“准自然实验”，对农民住房财产权抵押对涉农贷款供给的影响进行了检验。本文认为，现阶段农民住房面临着价值评估难、抵押物处置难的问题，抵押效果不佳。实证结果显示，农民住房财产权抵押没有显著增加涉农贷款供给，对农村金融的供给作用有限。本文在考虑了农民住房财产权抵押对其他担保方式的替代作用、农地经营权抵押和“三块地”改革的影响之后，上述结果依然稳健。本文的政策启示是，政府应着力做好农房抵押贷款改革的配套措施，推动宅基地制度改革，探索扩大农民住房财产权的受让范围，充分挖掘住房财产权的价值潜力，缓解抵押物处置难问题。     

农民住房财产权抵押能否激发农村金融市场*——基于银行贷款数据的实证分析

扩展抵押品范围是缓解农村金融困境的重要途径。在这一思路下，农民住房财产权抵押被寄予厚望，成为近年来农村政策改革的重要方向。本文使用2010—2016年1 024家农信社和农商行的数据，利用2015年12月国务院在天津市蓟州区等59个试点县（市、区）开展为期两年的农民住房财产权抵押贷款试点这一“准自然实验”，对农民住房财产权抵押对涉农贷款供给的影响进行了检验。本文认为，现阶段农民住房面临着价值评估难、抵押物处置难的问题，抵押效果不佳。实证结果显示，农民住房财产权抵押没有显著增加涉农贷款供给，对农村金融的供给作用有限。本文在考虑了农民住房财产权抵押对其他担保方式的替代作用、农地经营权抵押和“三块地”改革的影响之后，上述结果依然稳健。本文的政策启示是，政府应着力做好农房抵押贷款改革的配套措施，推动宅基地制度改革，探索扩大农民住房财产权的受让范围，充分挖掘住房财产权的价值潜力，缓解抵押物处置难问题。     

HOUSING AND HOUSING FINANCE IN AN ERA OF INFLATION AND DISINFLATION: INTRODUCTION

So far, the 1980s have been the decade of disinflation in the housing market. The United States has experienced four remarkable years during which house prices have declined in real terms, and, at least in some markets, in nominal terms as well. At the same time, mortgage interest rates have risen to unprecedented levels, and the housing finance system has experienced extraordinary stresses, which are contributing to a remarkably rapid process of fundamental structural change. This comes immediately after a 15-year period of variable, but persistent and accelerating inflation, culminating in a speculative housing boom from 1977 to 1979.