The collapse of housing market and the dramatically increased correlations of regional house prices are key aspects of the financial crisis of 2007-2009. While the overall trend of house price synchronicity has been documented, the determinants of such synchroncity are not well understood. To shed light on the topic, we analyze the impact of credit constraints in mortgage lending on synchronicity of local housing returns, by using time- and location-varying loan-to-value LTV regulations in Korea in a quasiexperimental design. We document that the longer the duration of the LTV restrictions, the lower the level of price co-movement in Korean cities, implying that macroeconomic shocks tend to have a weaker effect on housing markets with stricter lending restrictions. We test the robustness of these results with various alternative regression models, including potential endogeneity problems.
JEL Classifications: G21, G28
Keywords: House Price Co-movement, LTV, Macro-prudential Policy
학회소식
[2017년 제 1차] Credit Constraint and House Price Synchronicity: Evidence from the LTV Regulation in Korea
작성자 : 관리자
조회수 : 783
게시일 :
2017-03-02
