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Business cycle implications of mortgage spreads
Walentin, Karl - 2014 - September 2013 (Updated March 2014)
mortgage rates and government bonds? Using a structural VAR approach, we find that mortgage spread shocks impact the real …
Persistent link: https://www.econbiz.de/10010202977
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Housing Wealth Reallocation between Subprime and Prime Borrowers during Recessions
Sapci, Ayse; Vu, Nam - 2021
The Survey of Consumer Finances indicates that, unlike subprime borrowers, prime borrowers are more likely to own investment homes during recessions than during recoveries. Drawing on this empirical fact, we present and estimate a dynamic stochastic general equilibrium model that distinguishes...
Persistent link: https://www.econbiz.de/10013242279
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Interest Rates and Equity Extraction During the Housing Boom
Bhutta, Neil - 2017
average, about $40,000 against one's home) peaked in 2003 when mortgage rates hit historic lows, and estimate that a 100 basis … default risk, especially for extractors in 2006 who were more than twice as likely to become delinquent on a mortgage than non …
Persistent link: https://www.econbiz.de/10012973611
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Betting the House
Jordà, Òscar - 2015
Is there a link between loose monetary conditions, credit growth, house price booms, and financial instability? This paper analyzes the role of interest rates and credit in driving house price booms and busts with data spanning 140 years of modern economic history in the advanced economies. We...
Persistent link: https://www.econbiz.de/10013031150
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Monetary policy, housing, and collateral constraints
Franz, Thorsten - 2019
decisively on prevailing loan-to-value (LTV) ratios in mortgage markets with borrowing constrained households. Utilizing a smooth … housing sector in times of high LTV ratios, which, through changes in mortgage lending and mortgage equity withdrawals (MEWs …
Persistent link: https://www.econbiz.de/10011963152
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The costs of macroprudential deleveraging in a liquidity trap
Chen, Jiaqian; Finocchiaro, Daria; Lindé, Jesper; … - 2021 - updated January 2021
What are the effects of different borrower-based macroprudential tools when both real and nominal interest rates are low? We study this question in a New Keynesian model featuring long-term debt, housing transaction costs and a zero lower bound constraint on policy rates. We find that the...
Persistent link: https://www.econbiz.de/10012229933
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Is housing collateral important to the business cycle? : evidence from China parity
Gai, Yue; Minford, Patrick; Ou, Zhirong - 2020
This paper investigates whether housing collateral is important to the business cycle in China. We develop two models, one without housing collateral as benchmark and one variant allowing for it. Indirect Inference procedure tests these two models' compatibility with the data. We find that the...
Persistent link: https://www.econbiz.de/10012230065
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Housing market bubbles and business cycles in an agent-based credit economy
Erlingsson, Einar Jon; Cincotti, Silvano; Stefansson, Hlynur - 2013
conditions required by the banking system to grant a mortgage. The authors find that easier access to credit inflates housing …
Persistent link: https://www.econbiz.de/10009751106
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Housing market bubbles and business cycles in an agent-based credit economy
Erlingsson, Einar Jon; Teglio, Andrea; Cincotti, Silvano; … - 2014
This paper investigates the housing and mortgage markets by means of an agent-based macroeconomic model of a credit … households’ creditworthiness conditions required by banks in order to grant a mortgage. Results show that easier access to credit …
Persistent link: https://www.econbiz.de/10010248859
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Cross-sectional patterns of mortgage debt during the housing boom : evidence and implications
Foote, Christopher L.; Loewenstein, Lara; Willen, Paul - 2016 - This version: November 17, 2016
The reallocation of mortgage debt to low-income or marginally qualified borrowers plays a central role in many … explanations of the early 2000s housing boom. We show that such a reallocation never occurred, as the distribution of mortgage debt … with respect to income changed little even as the aggregate stock of debt grew rapidly. Moreover, because mortgage debt …
Persistent link: https://www.econbiz.de/10011562903