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In this paper I develop a New Keynesian dynamic stochastic general equilibrium model which features three different types of representative agents (THRANK): the poor hand-to- mouth, the wealthy hand-to-mouth and the non-hand-to mouth households. Compared to a full-scale HANK model, this model is...
Persistent link: https://www.econbiz.de/10012661618
This study looks at real estate price booms and busts in industrialised countries. It identifies major and persistent deviations from long term trends for 18 countries and estimates the probabilities of their occurrence using a Random Effects Panel Probit model over the period 1980-2007. It...
Persistent link: https://www.econbiz.de/10011605117
This paper explores the link between agent expectations and housing market dynamics. We focus on shifts in the fundamental driving forces of the economy that are anticipated by rational forward-looking agents, i.e. news shocks. Using Bayesian methods and U.S. data, we find that...
Persistent link: https://www.econbiz.de/10011605820
la Iacoviello which features a rental market. In this model, the usual optimal policy exercise concerns an augmented …
Persistent link: https://www.econbiz.de/10011605978
This paper assesses the role of the housing market in the transmission of conventional and unconventional monetary policy across euro area regions. By exploiting a novel regional dataset on housing-related variables, a structural panel VAR analysis shows that monetary policy propagates...
Persistent link: https://www.econbiz.de/10014374339
In comparison with the large literature on house prices, housing investments have been studied far less. This paper investigates the behavior of private residential investments for the six largest European economies, namely: Germany, France, Italy, Spain, the Netherlands and the United Kingdom....
Persistent link: https://www.econbiz.de/10013102106
We develop a representative agent model of a production economy in order to explain the joint dynamics of house prices and equity returns. In a model generating costly business cycle fluctuations, we find that restrictions on housing supply have important implications for asset pricing. Together...
Persistent link: https://www.econbiz.de/10013103615
in real estate assets that enable them to set prices in rental housing markets. A significant fraction of this funding is …
Persistent link: https://www.econbiz.de/10012825848
Using household survey data, we document evidence of a loosening of credit standards in Euro area countries that experienced a property price boom-and-bust cycle. Borrowers in these countries exhibited significantly higher loan-to-value (LTV) and loan-to-income (LTI) ratios in the run up to the...
Persistent link: https://www.econbiz.de/10012871079
This paper explores the link between agent expectations and housing market dynamics. We focus on shifts in the fundamental driving forces of the economy that are anticipated by rational forward-looking agents, i.e. news shocks. Using Bayesian methods and U.S. data, we find that...
Persistent link: https://www.econbiz.de/10013025023