Arbeitspapier
Consumption, housing collateral, and the Canadian business cycle
Using Bayesian methods, we estimate a small open economy model in which consumers face limits to credit determined by the value of their housing stock. The purpose of this paper is to quantify the role of collateralized household debt in the Canadian business cycle. Our findings show that the presence of borrowing constraints improves the performance of the model in terms of overall goodness of fit. In particular, the presence of housing collateral generates a positive correlation between consumption and house prices. Finally we find that housing collateral induced spillovers account for a large share of consumption growth during the housing market boom-bust cycle of the late 1980s.
- Language
-
Englisch
- Bibliographic citation
-
Series: Bank of Canada Working Paper ; No. 2009-26
- Classification
-
Wirtschaft
Macroeconomics: Consumption; Saving; Wealth
Business Fluctuations; Cycles
Financial Markets and the Macroeconomy
Monetary Policy
Urban, Rural, Regional, Real Estate, and Transportation Economics: Housing Demand
- Subject
-
Business fluctuations and cycles
Credit and credit aggregates
Transmission of monetary policy
Immobilienmarkt
Immobilienpreis
Privater Haushalt
Kreditsicherung
Verschuldungsrestriktion
Gesamtwirtschaftlicher Konsum
Kleines-offenes-Land
Kanada
- Event
-
Geistige Schöpfung
- (who)
-
Christensen, Ian
Corrigan, Paul
Mendicino, Caterina
Nishiyama, Shin-ichi
- Event
-
Veröffentlichung
- (who)
-
Bank of Canada
- (where)
-
Ottawa
- (when)
-
2009
- DOI
-
doi:10.34989/swp-2009-26
- Handle
- Last update
-
10.03.2025, 11:45 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Christensen, Ian
- Corrigan, Paul
- Mendicino, Caterina
- Nishiyama, Shin-ichi
- Bank of Canada
Time of origin
- 2009
Other Objects (12)
On the amplification role of collateral constraints
Canadian financial stress and macroeconomic conditions
Systemic risk and collateral adequacy: Evidence from the great crisis
A foreign activity measure for predicting Canadian exports
An examination of Canadian firms delisting from US exchanges
Assembling a real-financial micro-dataset for Canadian households
Amazon effects in Canadian online retail firm-product-level data
Toward a HANK model for Canada: Estimating a Canadian income process
Testing for financial contagion with applications to the Canadian banking system
On the Welfare Cost of Rare Housing Disasters
Fooled by search: Housing prices, turnover and bubbles
Revisiting National Border Effects in Foreign Trade in Goods of Canadian Provinces
On the amplification role of collateral constraints
Canadian financial stress and macroeconomic conditions
Systemic risk and collateral adequacy: Evidence from the great crisis
A foreign activity measure for predicting Canadian exports
An examination of Canadian firms delisting from US exchanges
Assembling a real-financial micro-dataset for Canadian households
Amazon effects in Canadian online retail firm-product-level data
Toward a HANK model for Canada: Estimating a Canadian income process
Testing for financial contagion with applications to the Canadian banking system
On the Welfare Cost of Rare Housing Disasters
Fooled by search: Housing prices, turnover and bubbles
Revisiting National Border Effects in Foreign Trade in Goods of Canadian Provinces
On the amplification role of collateral constraints
Canadian financial stress and macroeconomic conditions
Systemic risk and collateral adequacy: Evidence from the great crisis
A foreign activity measure for predicting Canadian exports
An examination of Canadian firms delisting from US exchanges
Assembling a real-financial micro-dataset for Canadian households
Amazon effects in Canadian online retail firm-product-level data
Toward a HANK model for Canada: Estimating a Canadian income process
Testing for financial contagion with applications to the Canadian banking system
On the Welfare Cost of Rare Housing Disasters
Fooled by search: Housing prices, turnover and bubbles