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Housing market dynamics : on the contribution of income shocks and credit constraints (revised version)

Ortalo-Magné, François; Rady, Sven - 2005

We propose a life-cycle model of the housing market with a property ladder and a credit constraint. We focus on equilibria which replicate the facts that credit constraints delay some households' first home purchase and force other households to buy a home smaller than they would like. The model...

Persistent link: https://www.econbiz.de/10010440424

Housing market dynamics : on the contribution of income shocks and credit constraint

Ortalo-Magné, François; Rady, Sven - 2005

Persistent link: https://www.econbiz.de/10010343962

Chapter 18. Macro, Money, and Finance : A Continuous-Time Approach

Brunnermeier, M.K.; Sannikov, Y. - In: Handbook of macroeconomics : volume 2, v. 2A-2B SET, (pp. 1497-1545). 2016

This chapter puts forward a manual for how to setup and solve a continuous time model that allows to analyze endogenous (1) level and risk dynamics. The latter includes (2) tail risk and crisis probability as well as (3) the Volatility Paradox. Concepts such as (4) illiquidity and liquidity...

Persistent link: https://www.econbiz.de/10014024265

Shocks, frictions, and inequality in US business cycles

Bayer, Christian; Born, Benjamin; Luetticke, Ralph - 2020

How much does inequality matter for the business cycle and vice versa? Using a Bayesian likelihood approach, we estimate a heterogeneous-agent New-Keynesian (HANK) model with incomplete markets and portfolio choice between liquid and illiquid assets. The model enlarges the set of shocks and...

Persistent link: https://www.econbiz.de/10012162730

Business-Cycle Macroeconomics in an Asset Pricing Financial Economy

Tse, Wai Man - 2020

-monetarist-Keynesian Quantity Theory of Money. Whereas the classics and Keynesian differ on equilibrium versus disequilibrium, it justifies the …

Persistent link: https://www.econbiz.de/10012839941

Financial Constraints, Sectoral Heterogeneity, and the Cyclicality of Investment

Howes, Cooper - 2021

While investment in most sectors declines in response to a contractionary monetary policy shock, investment in the …

Persistent link: https://www.econbiz.de/10013213795

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

The good, the bad, and the ugly: An inquiry into the causes and nature of credit cycles

Matsuyama, Kiminori - In: Theoretical economics : TE ; an open access journal in … 8 (2013) 3, pp. 623-651

This paper builds models of nonlinear dynamics in the aggregate investment and borrower net worth to study the causes and nature of endogenous credit cycles. The basic model has two types of projects: the Good and the Bad. The Good projects rely on the inputs supplied by others who could...

Persistent link: https://www.econbiz.de/10011685313

A model of housing and credit cycles with imperfect market knowledge

Kuang, Pei - 2014

The paper presents a model of housing and credit cycles featuring distorted beliefs and comovement and mutual reinforcement between house price expectations and price developments via credit expansion/contraction. Positive (negative) development in house prices fuels optimism (pessimism) and...

Persistent link: https://www.econbiz.de/10012010535

Behavioural credit cycles

Delli Gatti, Domenico; Iannotta, Gabriele - 2022

defaults, following a positive productivity shock, our behavioural model (BCC Mark I) generates hump-shaped impulse …-response functions that are more realistic than those generated by the same shock in a corresponding model with rational expectations … (RCC). When the behavioural model allows also for defaults (BCC Mark II), a productivity shock triggers ample and …

Persistent link: https://www.econbiz.de/10013399768