Showing 1 - 10 of 773
In this paper, we seek to quantify the importance of state-level housing price spillovers and interest rate shocks to … importance of interstate housing price spillovers. Beyond real house prices and real income per capita, each state … importance of housing price spillovers is state dependent, with shocks occurring in states with relatively lower land supply …
Persistent link: https://www.econbiz.de/10011604754
This paper uses a factor-augmented vector autoregressive model (FAVAR) estimated on U.S. data in order to analyze monetary transmission via private sector balance sheets, credit risk spreads and asset markets in an integrated setup and to explore the role of monetary policy in the three...
Persistent link: https://www.econbiz.de/10011605224
We measure the heterogeneous welfare effects of the recent inflation surge across households in the Euro Area. A simple framework illustrating the numerous channels of the transmission mechanism of surprise inflation to household welfare guides our empirical exercise. By combining micro data and...
Persistent link: https://www.econbiz.de/10014543620
This paper investigates the importance of including data on new housing supply in Dynamic Stochastic General … financial sector and real estate sector, they have largely overlooked housing supply. I develop an extended DSGE model that … includes both the financial sector and endogenous housing supply and show that forecasting accuracy significantly improves when …
Persistent link: https://www.econbiz.de/10014543686
This paper investigates the role of mortgage refinancing in shaping the estimates of marginal propensity to consume (MPC) and its implications for fiscal policy. Using U.S. household data, we find that MPCs decrease during the year of mortgage refinancing and stabilize afterwards, particularly...
Persistent link: https://www.econbiz.de/10015432193
Homeownership rates and holdings of housing wealth differ immensely across countries. Using micro data from five … economies, we estimate a life-cycle model with illiquid housing in which households face a discrete-continuous choice between … value of housing wealth into three groups of explanatory factors: house price expectations, the institutional set-up of the …
Persistent link: https://www.econbiz.de/10015432206
The study quantifies stock market and housing market wealth effects on households' non-durable consumption using … Italian household panel data (SHIW) of 1989-2002. We found all households react similarly to aggregate housing and stock … market gains. We also found statistically and economically significant housing wealth effects with a marginal propensity to …
Persistent link: https://www.econbiz.de/10011604903
housing market features and examine the monetary policy implications of housing-related disturbances. In particular, we derive … reinforce the existing evidence on the role of housing and mortgage markets for the US and provide new evidence on the … with the main features of optimal monetary policy response to housing-related shocks. …
Persistent link: https://www.econbiz.de/10011605018
We analyse the effect of shocks to housing wealth and income before and after the Great Recession. We combine datasets … affects the response to income and wealth shocks.We find evidence for both a housing wealth effect and income shocks …
Persistent link: https://www.econbiz.de/10012422051
We estimate a modified version of the "Financial Business Cycles" model originally developed by Iacoviello (2015) in order to investigate the role played by financial factors in driving the business cycle in the euro area. In the model, financial shocks such as borrower defaults, collateral...
Persistent link: https://www.econbiz.de/10012422137