AI 中文总结
研究1999 - 2019年美国住房周期谜题，构建统一信贷扩张理论及新工具变量法，解释各阶段内及跨都市模式，得出高净出口增长大都市住房周期受私人标签抵押贷款信贷扩张影响等结果，还表明“投机”非主导因素。
AI 中文摘要
在1999 - 2019年美国住房周期中，三个实证事实构成谜题：繁荣期内，大都市地区内邮政编码区域间收入增长与抵押贷款增长呈负相关，跨大都市地区呈正相关，且衰退最严重的大都市地区复苏也最强。本文提出统一信贷扩张理论，解释各阶段内及跨都市模式，产生新的“双重差异”可检验含义。基于“经济基础理论”，构建地方经济对净出口增长的敞口作为地方经济和信贷扩张驱动力。通过新工具变量法得出结果：高净出口增长的大都市因私人标签抵押贷款信贷扩张经历更强住房周期；定义低减高因子，高净出口增长大都市该因子在繁荣期更正向、衰退期更负向、复苏期比低净出口增长大都市稍更正向；还用五项测试表明“投机”在该住房周期不太可能起主导作用。
英文摘要
During the 1999-2019 U.S. housing cycle, three empirical facts present a puzzle: in the boom period, the correlation between income growth and mortgage growth is (1) negative across ZIP codes within a metropolitan area, but (2) positive across metropolitan areas, and (3) the metropolitan areas that experience the worst bust also show the strongest recovery. I develop a unified credit expansion theory that explains both within- and cross-metro patterns in the prior, boom, bust, and recovery periods (including the three facts above) and generates new testable implications of ``double differences" (cross ZIP codes and cross metros) for the four periods. Following the idea of ``Economic Base Theory", I construct local economic exposure to net export growth as the driving force of local economy and credit expansion. For the identification strategy, I use a new instrumental variable approach from the International trade literature for the following empirical results. First, I show that high-net-export-growth metros experience a stronger boom-bust-recovery housing cycle due to credit expansion in private-label mortgages (PLMs), rather than in government-sponsored enterprise mortgages (GSEMs), because only the former can legally respond to local economic conditions. Second, for the ``double differences", I define a low-minus-high (LMH) factor as the private-label mortgage (and house price) growth in low-income ZIP codes minus that in high-income ZIP codes within the same metropolitan area. I show that this low-minus-high factor (as a measure of credit expansion) in the high-net-export-growth metros is more positive during the boom period, more negative during the bust period, and slightly more positive in the recovery period than in the low-net-export-growth metros. Lastly, I employ five tests to demonstrate that ``speculation" is unlikely to play a dominant role in this housing cycle.
CommentsarXiv admin note: substantial text overlap with arXiv:2403.04104, arXiv:2407.01539
