Housing and the business cycle revisited

Arbeitspapier

In this paper, I present a multi-sectoral DSGE-model with housing, real rigidities and variable capital utilization that generates aggregate and sectoral co-movements due to sector specific shocks. Furthermore, the model accounts for two puzzles: First, residential investment correlates positively with house prices, and second, GDP residential and business investment tend toward the empirically observed lead-lag pattern. I show that, except for relative prices, all co-movements and the lead-lag pattern of different investment types are endogenous in the calibrated model and independent of the properties of the shock. In a second step, I estimate these properties with Bayesian techniques. As it turns out, shocks to sectors with similar elasticities in the final good sectors play a role related to aggregated shocks. In contradiction to a standard assumption in the literature, shocks to the construction sector seem to be lower than others.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: BGPE Discussion Paper ; No. 178

Klassifikation und Themen

• Klassifikation: Wirtschaft ; General Aggregative Models: Neoclassical ; Business Fluctuations; Cycles ; One, Two, and Multisector Growth Models ; Housing Supply and Markets
• Thema: Housing market ; sectoral and aggregate co-movements

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Fehrle, Daniel
• Ereignis: Veröffentlichung
• (wer): Friedrich-Alexander-Universität Erlangen-Nürnberg, Bavarian Graduate Program in Economics (BGPE)
• (wo): Nürnberg
• (wann): 2018

Weitere Informationen

• Handle: http://hdl.handle.net/10419/201654
• Letzte Aktualisierung: 10.03.2025, 11:45 MEZ