Evidence on the Relationship between Housing and Consumption in the United States: A State‐Level Analysis
通过动态共同因子模型和符号约束方法，估计美国住房市场冲击对各州消费和房价的动态影响，发现抵押贷款市场发展程度高的州，消费对住房需求冲击更敏感，支持“抵押品渠道”而非“财富渠道”的解释。
We estimate the dynamic effects of U.S. housing market shocks on state‐level spending and home prices from a dynamic common factor model, and identify housing demand and supply shocks using a sign‐restrictions approach. While state‐level spending and house prices gradually respond positively and persistently to aggregate housing demand shocks, there is significant variation across states in the magnitude of these responses. Cross‐state regressions of the estimated responses on an index of mortgage market development suggest that spending in states with greater opportunities for home equity borrowing is more sensitive to housing demand shocks than in states with fewer opportunities, which is consistent with the prominence of a “collateral” channel over a “wealth” channel in explaining the link between housing and the overall economy.