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

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Year of publication:	2012
Authors:	Geanakoplos, John
Other Persons:	Axtell, Robert (contributor) ; Farmer, J. Doyne (contributor) ; Howitt, Peter (contributor) ; Conlee, Benjamin (contributor) ; Goldstein, Jonathan (contributor) ; Hendrey, Matthew (contributor) ; Palmer, Nathan (contributor) ; Yang, Chun-Yi (contributor)
Publisher:	[2012]: [S.l.] : SSRN
Subject:	Agentenbasierte Modellierung \| Agent-based modeling \| Wohnungsmarkt \| Housing market \| Systemrisiko \| Systemic risk \| Finanzkrise \| Financial crisis \| Theorie \| Theory

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Extent:	1 Online-Ressource (14 p)
Series:	Cowles Foundation Discussion Paper ; No. 1852
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 8, 2012 erstellt
Other identifiers:	10.2139/ssrn.2018375 [DOI]
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:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013109559