This paper estimates demand and supply of mortgage credit by using a hierarchical trend model. The empirical analysis … collateral values. The common trend in the loan equation, a proxy for the changes in demand and supply of mortgage credit over … time, suggests a large decline in mortgage demand and supply after 2007. The common trend in the collateral value equation …

This paper uses a unique data set on more than 600,000 mortgage contracts to estimate a credit supply function which … approach in which changes in the tax treatment of housing transactions are used as an instrument for loan demand. The results … individual data ; credit supply ; risk pricing ; heterogeneous effects ; instrumental variable …

housing; that is, the demand for housing falls upon default. Consequently, when some households default, aggregate demand for …) spreads to a majority (interpretable as prime borrowers). -- Housing demand ; mortgage market ; default risk ; multiple …