Research
PUBLISHED PAPERS:
Forster, R., Sun, X. Heterogeneous Effects of Mortgage Rates on Housing Returns: Evidence from an Interacted Panel VAR. Journal of Real Estate Finance and Economics (2022).
Forster, R., Sun, X. "Taming the housing crisis: An LTV macroprudential policy." Economic Modelling (2022): 105761.
WORKING PAPERS:
"Deepwater Horizon and Bank Lending" (with Destan Kirimhan and Xiaojin Sun)
This paper investigates the Deepwater Horizon oil spill and its mortgage lending implications for the affected Gulf coast areas. We construct a unique dataset by using information from the Shoreline Cleanup Assessment Technique program and mapping those observations to the Home Mortgage Disclosure Act lending dataset. Our difference-in-differences estimation results show that mortgage lending contracts between 2 and 6% as a result of the Deepwater Horizon oil spill, whilst accounting for fixed effects at the lender and census tract levels. We also find that the effect is larger on refinance mortgages compared to home purchase mortgages, and national banks respond more aggressively compared to other mortgage lenders.
"Explaining House and Rental Price Fluctuations in the UK" (with Georgios Chortareas) - Under Revision
The UK owner-occupied and rental housing sectors experienced a significant degree of volatility over a prolonged period. Recent contributions, which relax the assumption of a homogeneous housing sector, provide calibrated models for the US and EU countries. To analyze the dynamics of both UK housing markets in response to macroeconomic and financial shocks, this paper builds and estimates a DSGE model with financial intermediaries and a rental market. We find that a combination of shocks rather than one single disturbance drives UK house and rental prices. Finally, the estimation results reveal only a minor role of financial shocks in explaining variations in both home and rental prices.
WORK IN PROGRESS:
- Heterogeneous Banking and Housing.
- Macroprudential and Fiscal Policy Coordination.