Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/210057 
Year of Publication: 
2014
Series/Report no.: 
Working Paper No. 08/2014
Publisher: 
Norges Bank, Oslo
Abstract: 
Does a "one model fits all" approach apply to the econometric modeling of regional house price determination? To answer this question, we utilize a panel of 100 US Metropolitan Statistical Areas over the period 1980q1-2010q2. For each area we estimate a separate cointegrated VAR model, focusing on differences in the effect of subprime lending and lagged house price appreciation. Our results demonstrate substantial differences in the importance of subprime lending for house price determination across regional housing markets. Specifically, we find a greater impact of subprime lending in areas with a high degree of physical and regulatory restrictions on land supply. Likewise, lagged house price appreciation - interpreted as capturing an adaptive expectation channel - is found to be more important in areas where the supply of dwellings is more constrained, in areas located in a state with non-recourse lending and in more populous areas. Our results also suggest that disequilibrium constellations are restored more slowly in areas located in a state with non-recourse lending.
Subjects: 
cointegration
panel heterogeneity
regional house price dynamics
subprime lending
JEL: 
C32
C51
C52
G01
R21
R31
Persistent Identifier of the first edition: 
ISBN: 
978-82-7553-810-7
Creative Commons License: 
cc-by-nc-nd Logo
Document Type: 
Working Paper
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