We develop a heterogeneous agent, overlapping generations model with nonhomothetic preferences that nests several explanations for the decline in the natural rate of interest (r*) suggested in the literature: demographic change, a slowdown in productivity growth, a rise in income inequality, and...

After a number of warning signs, the U.S. ""subprime mortgage crisis"" became a headline issue in February 2007. Notwithstanding the bankruptcy of numerous mortgage companies, historically high delinquencies and foreclosures, and a significant tightening in subprime lending standards, the impact...

This paper documents developments in mortgage credit and the housing sector in Latin America over the past decade, and compares them with those of other emerging economies. In particular, it examines the real estate and mortgage markets to assess whether (i) growth in mortgage credit is...

The COVID-19 pandemic crisis has severely shocked the commercial real estate (CRE) sector, which could have important implications for macro-financial stability going forward because of the large size of the sector and its strong interconnectedness with the real economy. Using a novel...

Nonlocal mortgage lenders with greater exposure to high-growth housing markets accept fewer loan applications in these markets and experience greater stock return volatility. When these lenders expand to high-growth markets, they also ration credit to a significantly greater degree than when...

Soaring real estate prices and valuations despite the economic downturn brought by the pandemic have focussed the attention of Dutch policymakers on potential macro-financial and socio-economic implications. In this context, our paper reviews the salient features of Dutch commercial and...

Housing is by far the most important asset in Chinese households' balance sheets. However, despite forceful and frequent government interventions, the rise in Chinese housing prices has not been contained as much as intended, a trend that has not been reversed by the COVID-19 shock. In this...

How does a shrinking population affect the housing market? In this study, drawing on Japan's experience, we find that there exists an asymmetric relationship between housing prices and population change. Due to the durability of housing structures, the decline in housing prices associated with...

Hedonic regressions are used for property price index measurement to control for changes in the quality-mix of properties transacted. The paper consolidates the hedonic time dummy approach, characteristics approach, and imputation approaches. A practical hedonic methodology is proposed that (i)...

This paper studies the US housing market using a proprietary and comprehensive dataset covering nearly 90 million residential transactions over 1998-2018. First, we document the evolution of different types of investment purchases such as those conducted by short-term buyers, out-of-state...