Essays on house price formation and household leverage

Hoffmann, Wieland

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URN: urn:nbn:de:bsz:180-madoc-409754
Document Type: Doctoral dissertation
Year of publication: 2016
Place of publication: Mannheim
University: Universität Mannheim
Evaluator: Adam, Klaus
Date of oral examination: 31 May 2016
Publication language: English
Institution: Außerfakultäre Einrichtungen > Graduate School of Economic and Social Sciences - CDSE (Economics)
School of Law and Economics > Geldpolitik und Makroökonomik (Adam 2008-)
Subject: 330 Economics
Subject headings (SWD): Immobilienpreis
Keywords (English): Housing , Learning , Mortgage Debt
Abstract: In two self-contained essays, my dissertation investigates determinants of house price formation and mortgage borrowing with an emphasis on the United States. The exceptional growth in mortgage debt during the early part of this century is the focus of the second chapter. I use panel data on the evolution of debt and asset positions of a representative sample of U.S. households to assess to what extent the imposition of stricter collateral requirements could have contained debt growth. The third chapter is motivated by the observation that episodes where house prices grow faster than trend for several years and then contract have been a recurring pattern in the U.S. over the past decades. In a calibrated life cycle model of the market for owner-occupied real estate, I fully match the high degree of serial correlation and eventual mean reversion in house price growth rates, as well as much of their volatility, when allowing for subjective price beliefs.

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