|
EconStor >
Deutsche Bundesbank, Forschungszentrum, Frankfurt am Main >
Discussion Papers, Deutsche Bundesbank >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/57777
|
| | |
| Title: | | Trend growth expectations and US house prices before and after the crisis  |
| Authors: | | Hoffmann, Mathias Krause, Michael U. Laubach, Thomas |
| Issue Date: | | 2012 |
| Series/Report no.: | | Discussion Paper, Deutsche Bundesbank 12/2012 |
| Abstract: | | 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 prices during the past 20 years can be reproduced when expectations of future income growth as published in surveys are used as an input into the model. Changes in growth expectations translate into corresponding changes in house prices, since the value of housing must be linked to expected aggregate income. Only since about 2005 do actual and model-implied house prices clearly diverge, calling for explanations not based on economic fundamentals. |
| Subjects: | | House prices trend growth Kalman filter real-time data borrowing constraints |
| JEL: | | E13 E32 D83 O40 |
| ISBN: | | 978-3-86558-813-5 |
| Document Type: | | Working Paper |
| Appears in Collections: | | Discussion Papers, Deutsche Bundesbank
|
| Files in This Item:
| |
|
| No. of Downloads:
| |
| last Month |
last 3 Month |
total |
|
|
|
|
|
| |
| | |
Download bibliographical data as:
BibTeX
|
| |
Share on:http://hdl.handle.net/10419/57777
|
Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.
|