Housing Market Spillovers: Evidence from an Estimated DSGE Model

Abstract

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Household Leverage and Fiscal Multipliers

“…From Iacoviello (2005) we take β l = 0.99, β b = 0.95 and the share τ b of impatient borrowers, which amounts to 36% of the total population 22 . We choose slightly lower and higher values than Iacoviello and Neri (2010) for the loan-to-value ratios representing the low and high indebtedness regimes: m b = 0.735 and m b = 0.985. We set α = 0.7, and the depreciation rate of physical capital δ = 0.025.…”

Estimating a stock-flow model for the Swiss housing market

“…Our estimates of housing price adjustment show that in Switzerland, too, the explanatory power of nominal interest rates is higher than that of the real rates. 16 In their two-sector Bayesian model Iacoviello and Neri (2010) The use of the nominal rates, as opposed to the real rates, is not only justified by its higher explanatory power but also by the fact that nominal interest rates are more closely related to financing constraints in the short run. 15…”

Temporal causality between house prices and output in the US: A bootstrap rolling-window approach

“…This sample period covers a series of different economic expansions and recessions in the U.S, as well as different market booms and busts, creating substantial volatility, that may provide different outcomes from other less-volatile periods (Iacoviello and Neri, 2010). We test the stability of the short-and long-run relationships between the two series to assess the reliability of full-sample causality tests.…”

“…Although a number of studies examine the spillover effects of the real house price onto consumption in the U.S (e.g., Green, 1997;Belsky and Prakken, 2004;Carroll, 2004;Iacoviello, 2005Iacoviello, , 2010Iacoviello, , 2011Case et al, 2005Case et al, , 2013Campbell and Cocco, 2007;Leamer, 2007;Iacoviello and Neri, 2010;Carroll et al, 2011;Mian and Sufi, 2011;Midrigan and Philippon, 2011;Abdallah and Lastrapes, 2012;Mian et al, 2012;Zhou and Carroll, 2013;Guerrieri and Iacoviello, 2013;Liu et al, 2013 and references cited there in), only two, to the best of our knowledge, consider the relationship between house prices and output (Demary, 2010;Miller et al, 2011). Demary (2010) investigates the link between the real house price and key macroeconomic variables, including output, for ten OECD countries, including the U.S, and concludes that the real house price significantly affects output.…”