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portion of the evolution of U.S. house prices during the past 20 years can be reproduced when expectations of future income … corresponding changes in house prices, since the value of housing must be linked to expected aggregate income. Only since about 2005 …
Persistent link: https://www.econbiz.de/10009528869
This paper examines to what extent the build-up of "global imbalances" since the mid-1990s can be explained in a purely real open-economy DSGE model in which agents' perceptions of long-run growth are based on filtering observed changes in productivity. We show that long-run growth estimates...
Persistent link: https://www.econbiz.de/10008839741
This paper examines to what extent the build-up of "global imbalances" since the mid-1990s can be explained in a purely real open-economy DSGE model in which agents' perceptions of long-run growth are based on filtering observed changes in productivity. We show that long-run growth estimates...
Persistent link: https://www.econbiz.de/10008822956
Since 1991, survey expectations of long-run output growth for the U.S. relative to the rest of the world exhibit a pattern strikingly similar to that of the U.S. current account, and thus also to global imbalances. We show that this finding can to a large extent be rationalized in a two-region...
Persistent link: https://www.econbiz.de/10009732995
Professional house price forecast data are consistent with a rational model where agents must learn about the parameters of the house price growth process and the underlying state of the housing market. Slow learning about the long-run mean can generate forecast bias, a response of forecasts to...
Persistent link: https://www.econbiz.de/10014349291
Persistent link: https://www.econbiz.de/10009697219
We investigate the behavior of the equilibrium price-rent ratio for housing in a standard asset pricing model and compare the model predictions to survey evidence on the return expectations of real-world housing investors. We allow for time-varying risk aversion (via external habit formation)...
Persistent link: https://www.econbiz.de/10013007498
We investigate the behavior of the equilibrium price-rent ratio for housing in a standard asset pricing model and compare the model predictions to survey evidence on the return expectations of real-world housing investors. We allow for time-varying risk aversion (via external habit formation)...
Persistent link: https://www.econbiz.de/10013007614
This paper demonstrates that increased optimism about future productivity can generate an immediate economic expansion in a neoclassical model with vintage capital and variable capacity utilization. Previous research has documented that standard neoclassical models cannot generate a simultaneous...
Persistent link: https://www.econbiz.de/10003391147
This paper examines to what extent the build-up of 'global imbalances' since the mid-1990s can be explained in a purely real open-economy DSGE model in which agents' perceptions of long-run growth are based on filtering observed changes in productivity. We show that long-run growth estimates...
Persistent link: https://www.econbiz.de/10012991049