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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 network economy. A set of computational experiments have been carried out in order to explore the effects of different households’ creditworthiness conditions required by banks...

Persistent link: https://www.econbiz.de/10010248859

The origins and effects of macroeconomic uncertainty

Bianchi, Francesco; Kung, Howard; Tirskikh, Mikhail - In: Quantitative economics : QE ; journal of the … 14 (2023) 3, pp. 855-896

We estimate a production‐based general equilibrium model featuring demand‐ and supply‐side uncertainty and an endogenous term premium. Using term structure and macroeconomic data, we find sizable effects of uncertainty on risk premia and business cycle fluctuations. Both demand‐ and...

Persistent link: https://www.econbiz.de/10014362538

A theory of housing demand shocks

Liu, Zheng; Wang, Pengfei; Zha, Tao - 2019

. The model predicts that a credit supply shock can generate large comovements between the house price and the price …

Persistent link: https://www.econbiz.de/10011987419

Banking networks and economic growth: from idiosyncratic shocks to aggregate fluctuations

Kundu, Shohini; Vats, Nishant - 2021

This paper explores the transmission of non-capital shocks through banking networks. We develop a methodology to construct non-capital (idiosyncratic) shocks, using labor productivity shocks to large firms. We document a change in the relationship between foreign idiosyncratic shocks and...

Persistent link: https://www.econbiz.de/10012694566

News shocks under financial frictions : a comment on Görtz et al. (2022)

Ash, Thomas; Nikolaishvili, Giorgi; Struby, Ethan - 2023

. In a Bayesian vector autoregression, they identify a TFP news shock as one that explains the largest share of 40-quarter … ahead forecast error variance (FEV) of TFP. Their estimated impulse responses functions show that a positive news shock … significantly decreases credit market spreads and increases credit market supply. They also find that a shock that explains the …

Persistent link: https://www.econbiz.de/10014335049

Heterogeneous expectations, boom-bust housing cycles, and supply conditions : a nonlinear dynamics approach

Dieci, Roberto; Westerhoff, Frank H. - 2015

We combine a standard stock-flow housing market model, incorporating explicit relationships between house prices, the housing stock, and the rent level, with a parsimonious expectation formation scheme of housing market investors, reflecting an evolving mix of extrapolative and regressive...

Persistent link: https://www.econbiz.de/10010517701

Cyclical and sectoral transitions in the US housing market

Cooper, Daniel; Bachmann, Ruediger - 2012 - This version: November 14, 2012

Using data from the Panel Study of Income Dynamics, this paper examines the flow of U.S. households within and between two distinct segments of the housing market - renter-occupied properties and owner-occupied properties. The paper provides relevant empirical moments for microfounded models of...

Persistent link: https://www.econbiz.de/10009681236

Cycles of the housing market in Hungary from the economic crisis until today

Harnos, László - In: Naše gospodarstvo : NG 64 (2018) 2, pp. 3-14

The main aim of this paper is to identify the underlying reasons for the cyclical nature of the Hungarian housing market, in particular the business cycles, the construction, and market participants' expectations. Our research was conducted based on analysis of statistical data and of the...

Persistent link: https://www.econbiz.de/10012020532

Housing Market Cycles – A Disequilibrium Model and Its Application to the Primary Housing Market in Warsaw

Augustyniak, Hanna - 2016

This paper presents a simple disequilibrium model in the primary housing market, calibrated to the Warsaw market. Our aim is to point out that the primary housing market, due to the long construction process is always in disequilibrium, which has important policy implications. We discuss the...

Persistent link: https://www.econbiz.de/10012982718

Cyclical Relationships Between GDP and Housing Market in France : Facts and Factors at Play

Vigna, Olivier; Ferrara, Laurent - 2010

In this paper we focus on cycles and trends of some macroeconomic and housing market variables representative of the French economy. In a first part, we empirically show that cycles in the housing sector, measured by housing prices, housing starts, building permits, sales or residential...

Persistent link: https://www.econbiz.de/10014194194