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Explaining the boom-bust cycle in the U.S. housing market: a reverse-engineering approach

Lansing, Kevin J.; Gelain, Paolo; Natvik, Gisele J. - Federal Reserve Bank of San Francisco - 2015

and mortgage debt over the period 1995 to 2012. Conditional on the observed paths for U.S. disposable income growth and … the mortgage interest rate, we consider four different specifications of the model that vary according to the way that … household expectations are formed (rational versus moving average forecast rules) and the maturity of the mortgage contract (one …

Persistent link: https://www.econbiz.de/10011152610

The great mortgaging: housing finance, crises, and business cycles

Jorda, Oscar; Schularick, Moritz; Taylor, Alan M. - Federal Reserve Bank of San Francisco - 2014

course of the 20th century, driven by a sharp rise of mortgage lending to households. Household debt to asset ratios have …

Persistent link: https://www.econbiz.de/10011026939

Betting the house

Jorda, Oscar; Schularick, Moritz; Taylor, Alan M. - Federal Reserve Bank of San Francisco - 2014

Is there a link between loose monetary conditions, credit growth, house price booms, and financial instability? This paper analyzes the role of interest rates and credit in driving house price booms and busts with data spanning 140 years of modern economic history in the advanced economies. We...

Persistent link: https://www.econbiz.de/10011114889

Exploring the role of the real exchange rate in Australian monetary policy

Dennis, Richard J. (contributor) - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001721287

Optimal simple targeting rules for small open economies

Dennis, Richard J. (contributor) - 2000 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001577840

Resolving the spanning puzzle in macro-finance term structure models

Bauer, Michael Dominic; Rudebusch, Glenn - Federal Reserve Bank of San Francisco - 2015

Previous macro-finance term structure models (MTSMs) imply that macroeconomic state variables are spanned by (i.e., perfectly correlated with) model-implied bond yields. However, this theoretical implication appears inconsistent with regressions showing that much macroeconomic variation is...

Persistent link: https://www.econbiz.de/10011123659

Modeling yields at the zero lower bound: are shadow rates the solution?

Christensen, Jens Henrik Eggert; Rudebusch, Glenn - Federal Reserve Bank of San Francisco - 2013

Recent U.S. Treasury yields have been constrained to some extent by the zero lower bound (ZLB) on nominal interest rates. In modeling these yields, we compare the performance of a standard affine Gaussian dynamic term structure model (DTSM), which ignores the ZLB, and a shadow-rate DTSM, which...

Persistent link: https://www.econbiz.de/10010728015

A probability-based stress test of Federal Reserve assets and income

Christensen, Jens Henrik Eggert; Lopez, Jose A.; … - Federal Reserve Bank of San Francisco - 2013

To support the economy, the Federal Reserve amassed a large portfolio of long-term bonds. We assess the Fed’s associated interest rate risk — including potential losses to its Treasury securities holdings and declines in remittances to the Treasury. Unlike past examinations of this interest...

Persistent link: https://www.econbiz.de/10011026933

Defaultable debt, interest rates and the current account

Aguiar, Mark (contributor); Gopinath, Gita (contributor) - 2004

Persistent link: https://www.econbiz.de/10003156371

A theory of endogenous nontradability and its implications for intertemporal trade

Bergin, Paul R. (contributor); Glick, Reuven (contributor) - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001721247

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