the value of their housing stock. The purpose of this paper is to quantify the role of collateralized household debt in … model in terms of overall goodness of fit. In particular, the presence of housing collateral generates a positive … correlation between consumption and house prices. Finally we find that housing collateral induced spillovers account for a large …

on household debt and unplanned savings over 2020. We merge data from the Survey of Financial Security and the Survey of … Household Spending to construct a representative cross-section of households who vary in their income, debt portfolios and mix … of consumption expenditures. We simulate a series of individual and aggregate shocks to household income and consumption …

Following the seminal contribution of Kiyotaki and Moore (1997), the role of collateral constraints for business cycle …. In contrast, Kocherlakota (2000) and Cordoba and Ripoll (2004) demonstrate that collateral constraints per se are unable … business cycle fluctuations through collateral constraints. We show that for realistic degrees of inefficiency, collateral …

assets of a collateral portfolio. Using this framework, we propose a methodology to conduct stress tests on the market value … of the portfolio of collateral when undesirable extreme dependence occurs. This framework permits us to quantify the …, imposing an adverse extreme dependence.We illustrate our framework using securities pledged as collateral in the Canadian …