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The effect of new housing supply in structural models : a forecasting performance evaluation
Girstmair, Stefan - 2024
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/10014484423
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Financial drivers of the euro area business cycle : a DSGE-based approach
Hirschbühl, Dominik; Krustev, Georgi; Stoevsky, Grigor - 2020
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/10012299080
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Fiscal tools at the zero lower bound : a DSGE model with occasionally binding constraints on monetary policy and borrowing
Adolfsen, Jakob Feveile - 2017
on the collateral value of the household's stock of housing, and this credit channel has a negative implication on the … effectiveness of government spending as a stabilising instrument due to a fall in the housing price. However, the channel might turn …
Persistent link: https://www.econbiz.de/10011778742
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Mortgage default in an estimated model of the U.S. housing market
Lambertini, Luisa; Victoria, Nuguer; Uysal, Pinar - 2017
This paper models the housing sector, mortgages and endogenous default in a DSGE setting with nominal and real … housing demand shock. Next we use our estimated model to evaluate a policy that reduces the principal of underwater mortgages …
Persistent link: https://www.econbiz.de/10011660977
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Learning and the market for housing
Rots, Eyno - 2015
House prices have inertia, which may be because housing-market participants need time to recognize long booms and … recessions. Within a dynamic stochastic general-equilibrium model with markets for housing and defaultable mortgages, I consider …
Persistent link: https://www.econbiz.de/10011350522
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Heterogeneous households in a sticky-price model
Lee, Jae Won - 2009
This paper introduces heterogeneous households into an otherwise standard sticky-price model with industry-specific labor markets. Households differ in labor incomes and asset markets are incomplete. I show that household heterogeneity affects equilibrium dynamics nontrivially by amplifying...
Persistent link: https://www.econbiz.de/10010282838
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The role of financial frictions during the crisis: An estimated DSGE model
Merola, Rossana - 2013
After the recent banking crisis in 2008, financial market conditions have turned out to be a relevant factor for economic fluctuations. This paper provides a quantitative assessment of the impact of financial frictions on the U.S. business cycle. The analysis compares the original Smets and...
Persistent link: https://www.econbiz.de/10011506769
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Bayesian estimation of a DSGE model with asset prices
Kliem, Martin; Uhlig, Harald - 2013
This paper presents a novel Bayesian method for estimating dynamic stochastic general equilibrium (DSGE) models subject to a constrained posterior distribution of the implied Sharpe ratio. We apply our methodology to a DSGE model with habit formation in consumption and leisure, using an estimate...
Persistent link: https://www.econbiz.de/10010192763
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The role of financial frictions during the crisis : an estimated DSGE model
Merola, Rossana - 2013
After the recent banking crisis in 2008, financial market conditions have turned out to be a relevant factor for economic fluctuations. This paper provides a quantitative assessment of the impact of financial frictions on the U.S. business cycle. The analysis compares the original Smets and...
Persistent link: https://www.econbiz.de/10011590285
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A Bayesian dynamic stochastic general equilibrium model of stock market bubbles and business cycles
Miao, Jianjun; Wang, Pengfei; Xu, Zhiwei - In: Quantitative economics : QE ; journal of the … 6 (2015) 3, pp. 599-635
We present an estimated dynamic stochastic general equilibrium model of stock market bubbles and business cycles using Bayesian methods. Bubbles emerge through a positive feedback loop mechanism supported by self-fulfilling beliefs. We identify a sentiment shock that drives the movements of...
Persistent link: https://www.econbiz.de/10011757753