Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/154208 
Erscheinungsjahr: 
2015
Schriftenreihe/Nr.: 
ECB Working Paper No. 1775
Verlag: 
European Central Bank (ECB), Frankfurt a. M.
Zusammenfassung: 
This paper explores the link between agent expectations and housing market dynamics. We focus on shifts in the fundamental driving forces of the economy that are anticipated by rational forward-looking agents, i.e. news shocks. Using Bayesian methods and U.S. data, we find that news-shock-driven-cycles account for a sizable fraction of the variability in house prices and other macroeconomic variables over the business cycle and have also contributed to run-ups in house prices over the last three decades. By exploring the link between news shocks and agent expectations, we show that house price growth was positively related to inflation expectations during the boom of the late 1970’s but negatively related to interest rate expectations during the mid-2000’s housing boom.
Schlagwörter: 
Bayesian estimation
Financial frictions
housing market
local identification
news shocks
survey expectations
JEL: 
C50
E32
E44
ISBN: 
978-92-899-1588-5
Dokumentart: 
Working Paper

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