Getting at Systemic Risk via an Agent-Based Model of the Housing Market

Systemic risk must include the housing market, though economists have not generally focused on it. We begin construction of an agent-based model of the housing market with individual data from Washington, DC. Twenty years of success with agent-based models of mortgage prepayments give us hope that such a model could be useful. Preliminary analysis suggests that the housing boom and bust of 1997-2007 was due in large part to changes in leverage rather than interest rates.

MoreLess

Year of publication:	2012-03
Authors:	Geanakoplos, John ; Axtell, Robert ; Farmer, Doyne J. ; Howitt, Peter ; Conlee, Benjamin ; Goldstein, Jonathan ; Hendrey, Matthew ; Palmer, Nathan M. ; Yang, Chun-Yi
Institutions:	Cowles Foundation for Research in Economics, Yale University
Subject:	Agent based models \| Housing prices \| Boom and bust \| Leverage \| Interest rates \| Foreclosures \| Systemic risk

freely available

Full text |

More access options

Check Google Scholar

In German libraries (KVK)

I need help

More details

Extent:	application/pdf
Series:	Cowles Foundation Discussion Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	CFP 1358 Published in American Economic Review: Papers and Proceedings (May 2012), 102(3): 53-58 The price is None Number 1852 13 pages
Classification:	E3 - Prices, Business Fluctuations, and Cycles ; E31 - Price Level; Inflation; Deflation ; E32 - Business Fluctuations; Cycles ; E37 - Forecasting and Simulation ; E44 - Financial Markets and the Macroeconomy ; E63 - Comparative or Joint Analysis of Fiscal and Monetary Policy; Stabilization ; R2 - Household Analysis ; R20 - Household Analysis. General ; R21 - Housing Demand ; R23 - Regional Migration; Regional Labor Markets; Population ; R28 - Government Policy ; R3 - Real Estate Markets, Spatial Production Analysis, and Firm Location ; R30 - Real Estate Markets, Spatial Production Analysis, and Firm Location. General ; R31 - Housing Supply and Markets ; R38 - Government Policy
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009653366