Replication data for: The Effect of House Prices on Household Borrowing: A New Approach

Principal Investigator(s):  View help for Principal Investigator(s) James Cloyne; Kilian Huber; Ethan Ilzetzki; Henrik Kleven

Version:  View help for Version V1

Name File Type Size Last Modified
00_Preparation.do text/plain 4.3 KB 12/07/2019 03:21:AM
F01_TimeBtwMortgages.do text/plain 1.2 KB 12/07/2019 03:21:AM
F02_Appraisals.do text/plain 679 bytes 12/07/2019 03:21:AM
F03_PriceIndex.do text/plain 2.7 KB 12/07/2019 03:21:AM
F04_05_Histograms.do text/plain 2.4 KB 12/07/2019 03:21:AM
F07_HousePriceChangesVsDuration.do text/plain 9.6 KB 12/07/2019 03:21:AM
F08_EqEx.do text/plain 4.5 KB 12/07/2019 03:21:AM
F09_10_EqExHeterogeneity.do text/plain 14.6 KB 12/07/2019 03:21:AM
F11_NotchesMoved.do text/plain 3.7 KB 12/07/2019 03:21:AM
LICENSE.txt text/plain 14.6 KB 12/07/2019 03:21:AM

Project Citation: 

Cloyne, James, Huber, Kilian, Ilzetzki, Ethan, and Kleven, Henrik. Replication data for: The Effect of House Prices on Household Borrowing: A New Approach. Nashville, TN: American Economic Association [publisher], 2019. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2019-12-07. https://doi.org/10.3886/E116205V1

Project Description

Summary:  View help for Summary We investigate the effect of house prices on household borrowing using administrative mortgage data from the United Kingdom and a new empirical approach. The data contain household-level information on house prices and borrowing in a panel of homeowners, who refinance at regular and quasi-exogenous intervals. The data and setting allow us to develop an empirical approach that exploits house price variation coming from the idiosyncratic and exogenous timing of refinance events around the Great Recession. We present two main results. First, there is a clear and robust effect of house prices on borrowing. Second, the effect of house prices on borrowing can be explained largely by collateral effects. We study the collateral channel through a multivariate and nonparametric heterogeneity analysis of proxies for collateral and wealth effects.

Scope of Project

JEL Classification:  View help for JEL Classification
      D14 Household Saving; Personal Finance
      E32 Business Fluctuations; Cycles
      R31 Housing Supply and Markets


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V1 [2019-12-07]

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