Research Discussion Paper – RDP 2013-05 Liquidity Shocks and the US Housing Credit Crisis of 2007–2008
May 2013 – ISSN 1320-7229 (Print), ISSN 1448-5109 (Online)
- Abstract
- Download the Paper 756KB
Contents
- Introduction
- Institutional Background
- Literature Review
- Data
- Testing the Liquidity Constraints Hypothesis
- Testing the Flight to Quality and Flight to Home Hypotheses
- Robustness Tests
- Conclusion
- Appendix A: Identifying the Effect of Credit Supply Shocks
- Appendix B: Identifying the Separate Effects of Liquidity and Lending Standards Shocks
- Appendix C: Estimating the Unbiased Aggregate Effect of the Liquidity Shock
- Appendix D: The Measurement of Subprime Mortgage Lending
- References
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This paper was prepared in part as a chapter of my PhD thesis at the London School of Economics. I would like to thank James Hansen, Alexandra Heath, Daniel Paravisini, Jose-Luis Peydró, Michael Plumb, Chris Stewart, Silvana Tenreyro and James Vickery for many useful comments and suggestions.