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.

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• Language: Englisch

References and Relationships

• Bibliographic citation: Series: BGPE Discussion Paper ; No. 178

Classification and Topics

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

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Fehrle, Daniel
• Event: Veröffentlichung
• (who): Friedrich-Alexander-Universität Erlangen-Nürnberg, Bavarian Graduate Program in Economics (BGPE)
• (where): Nürnberg
• (when): 2018

Further information

• Handle: http://hdl.handle.net/10419/201654