Arbeitspapier
Risk shocks and housing markets
This paper analyzes the role of uncertainty in a multi-sector housing model with financial frictions. We include time varying uncertainty (i.e. risk shocks) in the technology shocks that affect housing production. The analysis demonstrates that risk shocks to the housing production sector are a quantitatively important impulse mechanism for the business cycle. Also, we demonstrate that bankruptcy costs act as an endogenous markup factor in housing prices; as a consequence, the volatility of housing prices is greater than that of output, as observed in the data. The model can also account for the observed countercyclical behavior of risk premia on loans to the housing sector.
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Paper ; No. 10-11
- Klassifikation
-
Wirtschaft
- Thema
-
agency costs
credit channel
time-varying uncertainty
residential investment
housing production
calibration
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Lee, Gabriel
Dorofeenko, Victor
Salyer, Kevin
- Ereignis
-
Veröffentlichung
- (wer)
-
University of California, Department of Economics
- (wo)
-
Davis, CA
- (wann)
-
2010
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Lee, Gabriel
- Dorofeenko, Victor
- Salyer, Kevin
- University of California, Department of Economics
Entstanden
- 2010
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