Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/201654
Authors: 
Fehrle, Daniel
Year of Publication: 
2018
Series/Report no.: 
BGPE Discussion Paper 178
Abstract: 
In this paper, I present a multi-sectoral DSGE-model with housing, real rigidities and variable capital utilization that generates aggregate and sectoral co-movements due to sector specific shocks. Furthermore, the model accounts for two puzzles: First, residential investment correlates positively with house prices, and second, GDP residential and business investment tend toward the empirically observed lead-lag pattern. I show that, except for relative prices, all co-movements and the lead-lag pattern of different investment types are endogenous in the calibrated model and independent of the properties of the shock. In a second step, I estimate these properties with Bayesian techniques. As it turns out, shocks to sectors with similar elasticities in the final good sectors play a role related to aggregated shocks. In contradiction to a standard assumption in the literature, shocks to the construction sector seem to be lower than others.
Subjects: 
Housing market
sectoral and aggregate co-movements
JEL: 
E13
E32
O41
R31
Document Type: 
Working Paper

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