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Explaining the Boom-Bust Cycle in the U.S. Housing Market : A Reverse-Engineering Approach
Gelain, Paolo - 2018
We use a simple quantitative asset pricing model to "reverse-engineer" the sequences of stochastic shocks to housing demand and lending standards that are needed to exactly replicate the boom-bust patterns in U.S. household real estate value and mortgage debt over the period 1995 to 2012....
Persistent link: https://www.econbiz.de/10012937131
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Technology adoption, bubbles and productivity
Zvilichovsky, David (contributor) - 2007
Can stock market bubbles accelerate long term growth? Do such bubbles indicate irrational behavior? This paper studies … related bubbles such as the railway bubble of 19th century England and the 20th century ICT bubble. Attributing a productive … role to certain bubbles may have far-reaching policy implications …
Persistent link: https://www.econbiz.de/10003475661
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Financial conditions and density forecasts for US output and inflation
Alessandri, Piergiorgio; Mumtaz, Haroon - 2014
When do financial markets help in predicting economic activity? With incomplete markets, the link between financial and real economy is state-dependent and financial indicators may turn out to be useful particularly in forecasting "tail" macroeconomic events. We examine this conjecture by...
Persistent link: https://www.econbiz.de/10010339756
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Liquidity premia, price-rent dynamics, and business cycles
Miao, Jianjun; Wang, Pengfei; Zha, Tao - 2014
In the U.S. economy during the past 25 years, house prices exhibit fluctuations considerably larger than house rents, and these large fluctuations tend to move together with business cycles. We build a simple theoretical model to characterize these observations by showing the tight connection...
Persistent link: https://www.econbiz.de/10010395957
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U.S. monetary policy spillovers to emerging markets: both shocks and vulnerabilities matter
Ahmed, Shaghil; Akinci, Ozge; Queralto, Albert - 2021
We explore how the sources of shocks driving interest rates, country vulnerabilities, and central bank communications affect the spillovers of U.S. monetary policy changes to emerging market economies (EMEs). We utilize a two-country New Keynesian model with financial frictions and partly...
Persistent link: https://www.econbiz.de/10012584356
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Uncertainty shocks, capital flows, and international risk spillovers
Akinci, Ozge; Kalemli-Ozcan, Sebnem; Queralto, Albert - 2022
Foreign investors' changing appetite for risk-taking has been shown to be a key determinant of the global financial cycle. Such fluctuations in risk sentiment also correlate with the dynamics of uncovered interest parity (UIP) premia, capital flows, and exchange rates. To understand how these...
Persistent link: https://www.econbiz.de/10013193367
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Long-run growth expectations and "global imbalances"
Hoffmann, Mathias; Krause, Michael; Laubach, Thomas - 2011
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
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Long-run growth expectations and “global imbalances”
Hoffmann, Mathias; Krause, Michael; Laubach, Thomas - 2011
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
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Trend growth expectations and US house prices before and after the crisis
Hoffmann, Mathias; Krause, Michael; Laubach, Thomas - 2012
We provide an analysis that might help distinguish rationally justified movements in house prices from potentially non-rational movements, using a two-sector business cycle model, in which investment in housing is subject to collateral constraints. A large portion of the evolution of U.S. house...
Persistent link: https://www.econbiz.de/10009528869
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Do large recessions reduce output permanently?
Hosseinkouchack, Mehdi; Wolters, Maik H. - 2012
The slow recovery following the 2008/2009 recession has led to renewed interest in the question whether deep recessions lower real GDP permanently or whether we can expect a rebound to earlier trend levels. Using a recent quantile autoregression unit root test we check whether shocks to real GDP...
Persistent link: https://www.econbiz.de/10009673738