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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 |
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