全球智库信息集成服务系统(G2TT): The Macroeconomic Effects of Housing Wealth, Housing Finance, and Limited Risk-Sharing in General Equilibrium

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来源类型	Working Paper
规范类型	报告
DOI	10.3386/w15988
来源ID	Working Paper 15988
	The Macroeconomic Effects of Housing Wealth, Housing Finance, and Limited Risk-Sharing in General Equilibrium
	Jack Favilukis; Sydney C. Ludvigson; Stijn Van Nieuwerburgh
发表日期	2010-05-13
出版年	2010
语种	英语
摘要	This paper studies a quantitative general equilibriummodel of the housing market where a large number of overlapping generations of homeowners face both idiosyncratic and aggregate risks but have limited opportunities to insure against these risks due to incomplete financial markets and collateralized borrowing constraints. Interest rates in the model, like housing and equity returns, are determined endogenously from a market clearing condition. The model has two key elements not previously considered in existing quantitative macro studies of housing finance: aggregate business cycle risk, and a realistic wealth distribution driven in the model by bequest heterogeneity in preferences. These features of the model play a crucial role in the following results. First, a relaxation of financing constraints leads to a large boom in house prices. Second, the boom in house prices is entirely the result of a decline in the housing risk premium. Third, low interest rates cannot explain high home values.
主题	Macroeconomics ; Macroeconomic Models ; Consumption and Investment ; Business Cycles ; Money and Interest Rates ; Financial Economics ; Portfolio Selection and Asset Pricing
URL	https://www.nber.org/papers/w15988
来源智库	National Bureau of Economic Research (United States)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/573662
推荐引用方式 GB/T 7714	Jack Favilukis,Sydney C. Ludvigson,Stijn Van Nieuwerburgh. The Macroeconomic Effects of Housing Wealth, Housing Finance, and Limited Risk-Sharing in General Equilibrium. 2010.

条目包含的文件
文件名称/大小	资源类型	版本类型	开放类型	使用许可
w15988.pdf（1039KB）	智库出版物		限制开放	CC BY-NC-SA	浏览