Arbeitspapier
Endogenous Housing Market Cycles
Housing markets tend to display both positive serial correlation as well as a considerable volatility over time. We present a stochastic model illustrating the connection between adaptive expectations and market fluctuations. All macro economic and demographic variables stay fixed over time and price movements are driven by expectations only. In the case where agents face unconstrained mortgage financing, the housing market oscillations are regular and depend on mortgage to income ratios. When credit institutions are introduced, which view houses as mortgage collaterals, the dynamics get complex. Periods of mild oscillations are mixed with violent collapses in an unpredictable manner.
- Sprache
-
Englisch
- Erschienen in
-
Series: Discussion Papers ; No. 458
- Klassifikation
-
Wirtschaft
- Thema
-
Heterogeneous agents
adaptive expectation
credit score models
house price cycles
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Borgersen, Trond
Sommervoll, Dag Einar
Wennemo, Tom
- Ereignis
-
Veröffentlichung
- (wer)
-
Statistics Norway, Research Department
- (wo)
-
Oslo
- (wann)
-
2006
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Borgersen, Trond
- Sommervoll, Dag Einar
- Wennemo, Tom
- Statistics Norway, Research Department
Entstanden
- 2006
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