Pseudo Dataset and Code for Adelino, Schoar and Severino (2024) "Credit Supply and House Prices: Evidence from Mortgage Market Segmentation"
Description
This paper develops a difference-in-differences estimator that uses annual changes in the conforming loan limit and the 80% loan-to-value (LTV) threshold to isolate the impact of easier access to credit on house prices. Houses that become eligible for financing with an 80% LTV conforming loan increase in value by about $1.17 per square foot, controlling for a rich set of characteristics. Our estimates imply a local elasticity of house prices to interest rates below 6, which suggests that interest rates are capitalized into prices to a lesser extent than proposed by studies relying on more aggregate variation.
Files
Steps to reproduce
Please unzip the main data folder onto the same directory where it is included (A2S_mock_data) and run the do file called "A2S_JFE_2024.do" The detailed instructions can be found in the ReadMe.txt file.