Residential investment and house prices in a multi-sector monetary business cycle model

Jin, Yi; Zeng, Zhixiong

doi:10.1016/j.jhe.2004.08.001

Cited by 48 publications

(41 citation statements)

References 16 publications

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“…Barakova et al (2003) and Yamashita (2007). Moreover, the general equilibrium model by Jin and Zeng (2004) proposes that monetary shocks have a powerful impact on housing prices because of the liquidity constraints.…”

Section: Linkages Between Housing Prices and Household Borrowingmentioning

confidence: 99%

Interaction between housing prices and household borrowing: The Finnish case

Oikarinen¹

2009

Journal of Banking & Finance

147

118

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a b s t r a c tEmploying time series econometrics this study shows that there has been a significant two-way interaction between housing prices and housing loan stock in Finland since the financial liberalization in the late 1980s. Before the financial deregulation the interaction was substantially weaker. Furthermore, housing appreciation has a notable positive impact on the outstanding consumption loan stock. It appears that there is no similar relationship between stock prices and credit. Understanding the two-way interaction between housing prices and credit is of importance, since the interdependence is likely to augment boom-bust cycles in the economy and increase the fragility of the financial sector.

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Section: Linkages Between Housing Prices and Household Borrowingmentioning

confidence: 99%

Interaction between housing prices and household borrowing: The Finnish case

Oikarinen¹

2009

Journal of Banking & Finance

147

118

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“…For more elaborate models, see Li and Yao (2004) (dynamic partial equilibrium model) and Chambers et al (2005) (dynamic general equilibrium). For more discussion on the interaction between credit market imperfections and economic cycles, see Bernanke and Gertler (1989), Bizer and DeMarzo (1999), de Meza and Webb (1999), Hart andMoore (1994), FernandezVillaverde andKrueger (2001), Iacoviello (2002a,b), Iacoviello and Minetti (2002), Jin and Zeng (2003), Kiyotaki (1998), Kiyotaki and Moore (1997), Krishnamurthy (2003, Kubler and Schmedders (2001), Kwok (2001, Kwong et al (2000), Lamont et al (1999), Leung (2002), Leung and Leung (2004a), Leung and Zeng (2004b), Lustig (2001Lustig ( , 2003, Lustig and Nieuwerburgh (2003), Miles (1992), Moran (2004), Paasche (2001), Shleifer and Vishny (1992), Stein (1995), Tse and Leung (2002). See also Aiyagari and Gertler (1991), Ben-Shahar (1998, Kan (1999Kan ( , 2000, Mayer and Genesove (2001), Sinai and Souleles (2004) for alternative approaches.…”

Section: Property Prices Collateral and Related Issuesmentioning

confidence: 99%

Macroeconomics and housing: a review of the literature

Leung

2004

Journal of Housing Economics

267

163

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“…Recently, some researchers attempt to find the common factors that drive the movements of both housing transactions and housing prices Rady 2004, 2006;Jin and Zeng 2004;Iacoviello 2005).…”

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confidence: 99%

Turnovers and Housing Price Dynamics: Evidence from Singapore Condominium Market

Ong

Han

2008

J Real Estate Finance Econ

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Recent real estate literature has not only proposed a few theories to explain the puzzling macro feature of the positive correlation between price and transaction volume, but also attempted to identify the causal relationships between them. However, there is little empirical evidence to explicitly illustrate how housing price dynamics measured by both past price changes and price volatility at housing unit level affect housing turnovers. Using a unique housing transaction database from Singapore condominium market, this paper reveals an interesting housing turnover pattern in response to past housing price dynamics. The results illustrate that the rise and fall of a dwelling's price can significantly affect housing turnovers in the same direction. Higher volatility reduces housing turnovers. The effects are stronger in the domain of losses and are weakening as the cumulative housing equity rises, implying that a seller withholds the sale in the downswing of a real estate cycle in the hope that the market will rebound. The findings offer some additional micro empirical evidence to the interactions between housing price and transaction volume and imply upwardly biased repeat sales indexes.

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Residential investment and house prices in a multi-sector monetary business cycle model

Cited by 48 publications

References 16 publications

Interaction between housing prices and household borrowing: The Finnish case

Interaction between housing prices and household borrowing: The Finnish case

Macroeconomics and housing: a review of the literature

Turnovers and Housing Price Dynamics: Evidence from Singapore Condominium Market

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