Arbeitspapier
Trend growth expectations and US house prices before and after the crisis
We provide an analysis that might help distinguish rationally justified movements in house prices from potentially non-rational movements, using a two-sector business cycle model, in which investment in housing is subject to collateral constraints. A large portion of the evolution of U.S. house prices during the past 20 years can be reproduced when expectations of future income growth as published in surveys are used as an input into the model. Changes in growth expectations translate into corresponding changes in house prices, since the value of housing must be linked to expected aggregate income. Only since about 2005 do actual and model-implied house prices clearly diverge, calling for explanations not based on economic fundamentals.
- ISBN
-
978-3-86558-813-5
- Language
-
Englisch
- Bibliographic citation
-
Series: Bundesbank Discussion Paper ; No. 12/2012
- Classification
-
Wirtschaft
General Aggregative Models: Neoclassical
Business Fluctuations; Cycles
Search; Learning; Information and Knowledge; Communication; Belief; Unawareness
Economic Growth and Aggregate Productivity: General
- Subject
-
House prices
trend growth
Kalman filter
real-time data
borrowing constraints
- Event
-
Geistige Schöpfung
- (who)
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Hoffmann, Mathias
Krause, Michael U.
Laubach, Thomas
- Event
-
Veröffentlichung
- (who)
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Deutsche Bundesbank
- (where)
-
Frankfurt a. M.
- (when)
-
2012
- 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
- Hoffmann, Mathias
- Krause, Michael U.
- Laubach, Thomas
- Deutsche Bundesbank
Time of origin
- 2012
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