Arbeitspapier
A theory of housing demand shocks
Aggregate housing demand shocks are an important source of house price fluctuations in the standard macroeconomic models, and through the collateral channel, they drive macroeconomic fluctuations. These reduced-form shocks, however, fail to generate a highly volatile price-to-rent ratio that comoves with the house price observed in the data (the "price-rent puzzle"). We build a tractable heterogeneous-agent model that provides a microeconomic foundation for housing demand shocks. The model predicts that a credit supply shock can generate large comovements between the house price and the price-to-rent ratio. We provide empirical evidence from cross-country and cross-MSA data to support this theoretical prediction.
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Paper ; No. 2019-4
- Klassifikation
-
Wirtschaft
Macroeconomics: Consumption; Saving; Wealth
Financial Markets and the Macroeconomy
Banks; Depository Institutions; Micro Finance Institutions; Mortgages
- Thema
-
price-rent puzzle
heterogeneity
marginal agent
cutoff point
liquidity premium
price-to-rent ratio
collateral constraint
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Liu, Zheng
Wang, Pengfei
Zha, Tao
- Ereignis
-
Veröffentlichung
- (wer)
-
Federal Reserve Bank of Atlanta
- (wo)
-
Atlanta, GA
- (wann)
-
2019
- DOI
-
doi:10.29338/wp2019-04
- Handle
- Letzte Aktualisierung
- 10.03.2025, 11:45 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
- Liu, Zheng
- Wang, Pengfei
- Zha, Tao
- Federal Reserve Bank of Atlanta
Entstanden
- 2019
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