Arbeitspapier
Learning and the market for housing
House prices have inertia, which may be because housing-market participants need time to recognize long booms and recessions. Within a dynamic stochastic general-equilibrium model with markets for housing and defaultable mortgages, I consider the case of imperfect knowledge and learning about the persistence of exogenous shocks. I evaluate the performance of the model against the last 40 years of key U.S. macroeconomic data. Bayesian comparison strongly favors the model with learning over the baseline case with perfect knowledge, although additional assumptions about the learning process may be necessary for an adequate account of house-price dynamics.
- Language
-
Englisch
- Bibliographic citation
-
Series: MNB Working Papers ; No. 2015/4
- Classification
-
Wirtschaft
Business Fluctuations; Cycles
Prices, Business Fluctuations, and Cycles: Forecasting and Simulation: Models and Applications
Housing Supply and Markets
- Subject
-
housing market
DSGE
signal extraction
Bayesian estimation
- Event
-
Geistige Schöpfung
- (who)
-
Rots, Eyno
- Event
-
Veröffentlichung
- (who)
-
Magyar Nemzeti Bank
- (where)
-
Budapest
- (when)
-
2015
- 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
- Rots, Eyno
- Magyar Nemzeti Bank
Time of origin
- 2015
Other Objects (12)
Identifying supply and demand in the Hungarian corporate loan market
Is there a carry trade channel of monetary policy in emerging countries?
Business fixed investment and credit market frictions: A VECM approach for Hungary
Global, regional and country-specific components of financial market indicators: An extraction method and applications
The role of financial market structure and the trade elasticity for monetary policy in open economies
The cyclical position of housing prices: A VECM approach for Hungary
Labor market participation, unemployment and monetary policy
Secondary market trading infrastructure of government securities
Network properties and evolution of the Hungarian RTGS over the past decade
Firm-level adjustment costs and aggregate investment dynamics - Estimation on Hungarian data
Testing the asset pricing model of exchange rates with survey data
Beating the random walk in Central and Eastern Europe by survey forecasts
Identifying supply and demand in the Hungarian corporate loan market
Is there a carry trade channel of monetary policy in emerging countries?
Business fixed investment and credit market frictions: A VECM approach for Hungary
Global, regional and country-specific components of financial market indicators: An extraction method and applications
The role of financial market structure and the trade elasticity for monetary policy in open economies
The cyclical position of housing prices: A VECM approach for Hungary
Labor market participation, unemployment and monetary policy
Secondary market trading infrastructure of government securities
Network properties and evolution of the Hungarian RTGS over the past decade
Firm-level adjustment costs and aggregate investment dynamics - Estimation on Hungarian data
Testing the asset pricing model of exchange rates with survey data
Beating the random walk in Central and Eastern Europe by survey forecasts
Identifying supply and demand in the Hungarian corporate loan market
Is there a carry trade channel of monetary policy in emerging countries?
Business fixed investment and credit market frictions: A VECM approach for Hungary
Global, regional and country-specific components of financial market indicators: An extraction method and applications
The role of financial market structure and the trade elasticity for monetary policy in open economies
The cyclical position of housing prices: A VECM approach for Hungary
Labor market participation, unemployment and monetary policy
Secondary market trading infrastructure of government securities
Network properties and evolution of the Hungarian RTGS over the past decade
Firm-level adjustment costs and aggregate investment dynamics - Estimation on Hungarian data
Testing the asset pricing model of exchange rates with survey data