Pseudo Dataset and Code for Adelino, Schoar and Severino (2024) "Credit Supply and House Prices: Evidence from Mortgage Market Segmentation"

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.

本文构建了双重差分（difference-in-differences）估计量，利用合格贷款限额与80%贷款价值比（loan-to-value, LTV）阈值的年度变动，识别信贷准入放宽对住宅价格的因果影响。在控制了一系列丰富的特征变量后，可通过80%贷款价值比合格贷款获得融资的住宅，其单价每平方英尺约上涨1.17美元。我们的估计结果表明，住宅价格对利率的局部弹性低于6，这意味着利率在住宅价格中的资本化程度，要低于依托更宏观变异数据的相关研究所提出的水平。