LUSTIG, HANNO N.; NIEUWERBURGH, STIJN G. VAN - In: Journal of Finance 60 (2005) 3, pp. 1167-1219
In a model with housing collateral, the ratio of housing wealth to human wealth shifts the conditional distribution of asset prices and consumption growth. A decrease in house prices reduces the collateral value of housing, increases household exposure to idiosyncratic risk, and increases the...