Arbeitspapier
An equilibrium analysis of the rise in house prices and mortgage debt
This paper examines the contributions of population aging, mortgage innovation and historically low interest rates to the sharp rise in U.S. house prices and mortgage debt between 1994 and 2005. I construct an overlapping generations general equilibrium housing model and find that these three factors together account for over half of the increase in house prices and most of the increase in mortgage debt during this period. Population aging contributes to rising house prices and mortgage debt, but it accounts for only a small portion of their observed changes. Meanwhile, mortgage innovation significantly increases the mortgage borrowing of various age cohorts, but it has a trivial effect on house prices because interest rates rise due to higher demand for mortgage loans. This increases households' savings in financial assets and leaves their housing assets nearly unchanged. The observed run-up in house prices can, however, be justified in an open-economy setting where interest rates fall due to a global saving glut. Declining interest rates force households at prime saving ages to reallocate their wealth from financial assets to housing assets, which dramatically drives up house prices.
- Sprache
-
Englisch
- Erschienen in
-
Series: Bank of Canada Working Paper ; No. 2013-9
- Klassifikation
-
Wirtschaft
Macroeconomics: Consumption; Saving; Wealth
Financial Markets and the Macroeconomy
Portfolio Choice; Investment Decisions
Urban, Rural, Regional, Real Estate, and Transportation Economics: Housing Demand
- Thema
-
Asset pricing
Credit and credit aggregates
Economic models
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Xu, Shaofeng
- Ereignis
-
Veröffentlichung
- (wer)
-
Bank of Canada
- (wo)
-
Ottawa
- (wann)
-
2013
- DOI
-
doi:10.34989/swp-2013-9
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:41 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Xu, Shaofeng
- Bank of Canada
Entstanden
- 2013
Ähnliche Objekte (12)
House prices, consumption and the role of non-mortgage debt
How do mortgage rate resets affect consumer spending and debt repayment? Evidence from Canadian consumers
Corporate debt composition and business cycles
Market timing of long-term debt issuance
Inflation and unemployment in competitive search equilibrium
Unregulated lending, mortgage regulations and monetary policy
Monetary policy and government debt dynamics without commitment
The threat of counterfeiting in competitive search equilibrium
Price movements in the Canadian residential mortgage market
Learning, equilibrium trend, cycle, and spread in bond yields
Changing fortunes: Long-termism - G-Zero, artificial intelligence and debt
Time-consistent management of a liquidity trap with government debt
House prices, consumption and the role of non-mortgage debt
How do mortgage rate resets affect consumer spending and debt repayment? Evidence from Canadian consumers
Corporate debt composition and business cycles
Market timing of long-term debt issuance
Inflation and unemployment in competitive search equilibrium
Unregulated lending, mortgage regulations and monetary policy
Monetary policy and government debt dynamics without commitment
The threat of counterfeiting in competitive search equilibrium
Price movements in the Canadian residential mortgage market
Learning, equilibrium trend, cycle, and spread in bond yields
Changing fortunes: Long-termism - G-Zero, artificial intelligence and debt
Time-consistent management of a liquidity trap with government debt
House prices, consumption and the role of non-mortgage debt
How do mortgage rate resets affect consumer spending and debt repayment? Evidence from Canadian consumers
Corporate debt composition and business cycles
Market timing of long-term debt issuance
Inflation and unemployment in competitive search equilibrium
Unregulated lending, mortgage regulations and monetary policy
Monetary policy and government debt dynamics without commitment
The threat of counterfeiting in competitive search equilibrium
Price movements in the Canadian residential mortgage market
Learning, equilibrium trend, cycle, and spread in bond yields
Changing fortunes: Long-termism - G-Zero, artificial intelligence and debt