Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/193543 
Year of Publication: 
2017
Series/Report no.: 
ESRB Working Paper Series No. 36
Publisher: 
European Systemic Risk Board (ESRB), European System of Financial Supervision, Frankfurt a. M.
Abstract: 
We provide a micro-empirical link between the large literature on credit and house prices and the burgeoning literature on macroprudential policy. Using loan-level data on Irish mortgages originated between 2003 and 2010, we construct a measure of credit availability which varies at the borrower level as a function of income, wealth, age, interest rates and prevailing market conditions around Loan to Value ratios (LTV), Loan to Income ratios (LTI) and monthly Debt Service Ratios (DSR). We deploy a property-level house price model which shows that a ten per cent increase in credit available leads to an 1.5 per cent increase in the value of property purchased. Coefficients from this model are then used to fit values under scenarios of macroprudential restrictions on LTV, LTI and DSR on credit availability and house prices in Ireland for 2003 and 2006. Our results suggest that macroprudential limits would have had substantial impacts on house prices, and that both the level at which they are set and the timing of their introduction is a crucial determinant of their impact on housing values.
Subjects: 
Mortgages
credit availability
macroprudential policy
house prices
JEL: 
E58
G28
G21
R31
Persistent Identifier of the first edition: 
ISBN: 
978-92-95081-95-6
Document Type: 
Working Paper

Files in This Item:
File
Size
464.48 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.