Housing and credit misalignments in a two-market disequilibrium framework

Arbeitspapier

During the COVID-19 pandemic, house prices and mortgage credit rose at a longunseen pace. It is unclear, however, whether such increases are warranted by the underlying market and macroeconomic fundamentals. This paper offers a new structural two-market disequilibrium model that can be estimated using full-information methods and applied to analyse housing and credit dynamics. Dealing with econometric specification u ncertainty, w e e stimate a l arge e nsemble o f t he two-market disequilibrium model specifications f or Lithuanian m onthly d ata. U sing t he model estimates, we identify the historical drivers of Lithuania's housing and credit demand and supply, as well as price and market quantity variables. The paper provides a novel approach in the financial s tability literature t o j ointly m easure h ouse price overvaluation and mortgage credit flow g aps. We find that, by mid-2021, Lithuania was experiencing a heating-up in housing and mortgage credit markets, with home prices overvalued by around 16% and the volume of mortgage credit flow being 20% above its fundamentals.

Angaben zum Objekt

• ISBN: 978-92-9472-257-7
• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: ESRB Working Paper Series ; No. 135

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Multiple or Simultaneous Equation Models: Truncated and Censored Models; Switching Regression Models ; General Equilibrium and Disequilibrium: General ; Financial Markets and the Macroeconomy ; Money Supply; Credit; Money Multipliers ; Banks; Depository Institutions; Micro Finance Institutions; Mortgages
• Thema: disequilibrium ; fundamentals ; misalignments ; house prices ; mortgage credit ; early warning indicators

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Karmelaviécius, Jaunius ; Mikali¯unaitçe-Jouvanceau, Ieva ; Petrokaitçe, Austçeja
• Ereignis: Veröffentlichung
• (wer): European Systemic Risk Board (ESRB), European System of Financial Supervision
• (wo): Frankfurt a. M.
• (wann): 2022

Weitere Informationen

• DOI: doi:10.2849/224444
• Handle: http://hdl.handle.net/10419/278169
• Letzte Aktualisierung: 10.03.2025, 11:43 MEZ