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Chapter 12. Housing, Finance, and the Macroeconomy

Davis, Morris A.; Van Nieuwerburgh, Stijn - In: Handbook of regional and urban economics : volume 5, (pp. 753-811). 2015

In this chapter, we review and discuss the large body of research that has developed over the past 10-plus years that explores the interconnection of macroeconomics, finance, and housing. We focus on three major topics—housing and the business cycle, housing and portfolio choice, and housing...

Persistent link: https://www.econbiz.de/10014025303

Expectations during the U.S. housing boom : inferring beliefs from actions

Ben-David, Itzhak; Towbin, Pascal; Weber, Sebastian - 2019

We infer the role of price expectations in forming the U.S. housing boom in the early-2000s from examining housing inventories. We use a reduced form model to show that agents invest in vacant homes when they anticipate prices will increase. Empirically, vacancy can discriminate between price...

Persistent link: https://www.econbiz.de/10012104647

Rational asset pricing bubbles and portfolio constraints

Hugonnier, Julien - 2010

This article shows that the presence of portfolio constraints can give rise to rational asset pricing bubbles in … opportunities. Furthermore, it is shown that when they are present bubbles can lead to both multiplicity and real indeterminacy of … make bubbles a necessary condition for the existence of an equilibrium …

Persistent link: https://www.econbiz.de/10003966068

Home ownership and household portfolio choice

Michielsen, Thomas; Mocking, Remco; Veldhuizen, Sander van - 2016

We study the effect of home equity and indebtedness on financial portfolio choices of Dutch households during the period 2006-2012. Using a large administrative dataset at the household level we estimate how home equity and the outstanding mortgage amount influence the share of liquid assets...

Persistent link: https://www.econbiz.de/10011415276

Can learning explain boom-bust cycles in asset prices? : an application to the US housing boom

Caines, Colin - 2016

Explaining asset price booms poses a difficult question for researchers in macroeconomics: how can large and persistent price growth be explained in the absence large and persistent variation in fundamentals? This paper argues that boom-bust behavior in asset prices can be explained by a model...

Persistent link: https://www.econbiz.de/10011563199

Identifying Booms and Busts in House Prices Under Heterogeneous Expectations

Bolt, Wilko - 2014

identify temporary house price bubbles, amplified by trend extrapolation, and crashes reinforced by fundamentalists. The …

Persistent link: https://www.econbiz.de/10013039728

Booms and Busts in Housing Markets : Determinants and Implications

Agnello, Luca - 2009

This study looks at real estate price booms and busts in industrialised countries. It identifies major and persistent deviations from long term trends for 18 countries and estimates the probabilities of their occurrence using a Random Effects Panel Probit model over the period 1980-2007. It...

Persistent link: https://www.econbiz.de/10013158164

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

Housing market bubbles and business cycles in an agent-based credit economy

Erlingsson, Einar Jon; Cincotti, Silvano; Stefansson, Hlynur - 2013

In this paper the authors present an agent-based model of a credit network economy. The artificial economy includes different economic agents that interact using simple behavioral rules through various markets, i.e., the consumption goods market, the labor market, the credit market and the...

Persistent link: https://www.econbiz.de/10009751106

Booms and busts in house prices explained by constraints in housing supply

Bulusu, Narayan; Duarte, Jefferson; Vergara-Alert, Carles - 2013

We study the importance of supply constraints in explaining the heterogeneity in house price cycles across geographies in the United States. Comparing the equilibrium house price generated with and without supply constraints in a representative-agent model under irreversibility of housing...

Persistent link: https://www.econbiz.de/10009751696