Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/210078 
Erscheinungsjahr: 
2015
Schriftenreihe/Nr.: 
Working Paper No. 11/2015
Verlag: 
Norges Bank, Oslo
Zusammenfassung: 
We use a simple quantitative asset pricing model to "reverse-engineer" the sequences of stochastic shocks to housing demand and lending standards that are needed to exactly replicate the boom-bust patterns in U.S. household real estate value and mortgage debt over the period 1995 to 2012. Conditional on the observed paths for U.S. disposable income growth and the mortgage interest rate, we consider four different specifications of the model that vary according to the way that household expectations are formed (rational versus moving average forecast rules) and the maturity of the mortgage contract (one-period versus long-term). We find that the model with moving average forecast rules and long-term mortgage debt does best in plausibly matching the patterns observed in the data. Counterfactual simulations show that shifting lending standards (as measured by a loan-to-equity limit) were an important driver of the episode while movements in the mortgage interest rate were not. All models deliver rapid consumption growth during the boom, negative consumption growth during the Great Recession, and sluggish consumption growth during the recovery when households are deleveraging.
Schlagwörter: 
housing bubbles
mortgage debt
borrowing constraints
lending standards
macroprudential policy
JEL: 
D84
E32
E44
G12
O42
R31
Persistent Identifier der Erstveröffentlichung: 
ISBN: 
978-82-7553-873-2
Creative-Commons-Lizenz: 
cc-by-nc-nd Logo
Dokumentart: 
Working Paper
Erscheint in der Sammlung:

Datei(en):
Datei
Größe
1.45 MB





Publikationen in EconStor sind urheberrechtlich geschützt.