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Mortgage Market Flexibility and the Transmission of House Price Shocks: A Multi-Country Study

This paper assesses how the degree of the mortgage market ﬂexibility alters the eﬀect of a residential house price shock on household credit and GDP. We estimate a panel vector autoregression model for a sample of 16 OECD countries for the period 1985Q1-2012Q4 and we identify a house price shock as an increase in the innovation term of house prices unrelated to the contemporaneous changes in output and inﬂation. Our results do not support the hypothesis of a stronger household credit and GDP response to a house price shock in countries with a more ﬂexible mortgage market.