Research Statements
My research focuses on the asset pricing (e.g. house prices) implications for the aggregate economy under an incomplete market with financial frictions. It also investigates the link between asset holdings and consumption at household level under an applied microeconomics approach.
Research Interests
Empirical Macroeconomics; Appplied Time Series; Real Estate Finance and Household Economics
Abstracts of Completed Working Papers
1. Household-Specific Housing Wealth and Consumption: Evidence from U.S. Micro Data
This paper examines whether housing wealth transmit to household consumption via a credit channel. To this end, we augment home rents with time and spatial variations in home price growth to build a panel of U.S. individual home price from 2001-2006, and test if household consumption respond to housing wealth growth in a way violating the permanent income hypothesis. Results show that households in poverty, with welfare income or a high credit card utilization rate, who self-reveal them as credit constrained, all yield an excess MPC out of anticipated housing wealth, which implies a credit channel but is still under estimated due to adverse effects of home purchase and precautionary saving on consumption. An investigation into home equity-based borrowing verifies the credit channel found in that it doesn’t serve not credit constrained households.
This paper examines whether housing wealth transmit to household consumption via a credit channel. To this end, we augment home rents with time and spatial variations in home price growth to build a panel of U.S. individual home price from 2001-2006, and test if household consumption respond to housing wealth growth in a way violating the permanent income hypothesis. Results show that households in poverty, with welfare income or a high credit card utilization rate, who self-reveal them as credit constrained, all yield an excess MPC out of anticipated housing wealth, which implies a credit channel but is still under estimated due to adverse effects of home purchase and precautionary saving on consumption. An investigation into home equity-based borrowing verifies the credit channel found in that it doesn’t serve not credit constrained households.
xuefeng_pan._household-specific_housing_wealth_and_consumption-evidence_from_u.s._micro_data.pdf |
2. The Role of Monetary Policy on Housing and Consumption
This paper studies the role of monetary policy on the U.S. housing and consumption sectors. In particular, it studies the channels through which monetary policy causes changes in sub-prime mortgages that impact these sectors, and tests if capital inflows to the housing market facilitate the monetary policy. The paper uses sequential vector autoregressive models at monthly frequency, which first capture the responses of mortgage spread and sub-prime mortgages to a monetary shock, and subsequently the response of housing sector to a mortgage spread shock. The results indicate that expansionary monetary policy shocks lead to a fall in mortgage spread and a rise in sub-prime mortgage, which in turn increases house prices and consumption. Results also imply that capital inflows independently facilitate the monetary transmission to the two sectors by investing on sub-prime mortgages. The paper adds to the literature by showing that the monetary transmission to housing and consumption sectors also works via changes in sub-prime mortgages, by utilizing non-agency MBS and home equity withdrawals as innovative measures of sub-prime mortgages, and by studying the simultaneous role of monetary shocks, capital inflows, credit risks, and housing finance in an integrated analysis of recent developments in the housing sector.
This paper studies the role of monetary policy on the U.S. housing and consumption sectors. In particular, it studies the channels through which monetary policy causes changes in sub-prime mortgages that impact these sectors, and tests if capital inflows to the housing market facilitate the monetary policy. The paper uses sequential vector autoregressive models at monthly frequency, which first capture the responses of mortgage spread and sub-prime mortgages to a monetary shock, and subsequently the response of housing sector to a mortgage spread shock. The results indicate that expansionary monetary policy shocks lead to a fall in mortgage spread and a rise in sub-prime mortgage, which in turn increases house prices and consumption. Results also imply that capital inflows independently facilitate the monetary transmission to the two sectors by investing on sub-prime mortgages. The paper adds to the literature by showing that the monetary transmission to housing and consumption sectors also works via changes in sub-prime mortgages, by utilizing non-agency MBS and home equity withdrawals as innovative measures of sub-prime mortgages, and by studying the simultaneous role of monetary shocks, capital inflows, credit risks, and housing finance in an integrated analysis of recent developments in the housing sector.
3. Credit Effects of Housing Wealth without Bank Credits: New Micro Evidence from China, With Zhichao Yin
We examine the housing wealth effect on consumption in China and explore the channels through which this effect works. To that end, we feed a cross-section of individual house price and household expenditure to a revised representative agent framework, and test the heterogeneity in MPC out of housing wealth across households grouped by both extensive and intensive margin constraint measures. Results indicate that household consumption is positively and significantly sensitive to housing wealth and the sensitivity increases with household debt leverage, suggesting a credit channel. We further show that the credit channel only works for private credits but not for bank credits, which is due to the absence of a bank credit market for mortgage refinancing in China. We contribute to the literature with the use of newly-surveyed micro house prices, and with the identification of a credit channel that, in a context of no mortgage refinancing, concentrates on a private credit market.
We examine the housing wealth effect on consumption in China and explore the channels through which this effect works. To that end, we feed a cross-section of individual house price and household expenditure to a revised representative agent framework, and test the heterogeneity in MPC out of housing wealth across households grouped by both extensive and intensive margin constraint measures. Results indicate that household consumption is positively and significantly sensitive to housing wealth and the sensitivity increases with household debt leverage, suggesting a credit channel. We further show that the credit channel only works for private credits but not for bank credits, which is due to the absence of a bank credit market for mortgage refinancing in China. We contribute to the literature with the use of newly-surveyed micro house prices, and with the identification of a credit channel that, in a context of no mortgage refinancing, concentrates on a private credit market.