Arbeitspapier
A model of housing and credit cycles with imperfect market knowledge
The paper presents a model of housing and credit cycles featuring distorted beliefs and comovement and mutual reinforcement between house price expectations and price developments via credit expansion/contraction. Positive (negative) development in house prices fuels optimism (pessimism) and credit expansion (contraction), which in turn boost (dampen) housing demand and house prices and reinforce agents' optimism (pessimism). Bayesian learning about house prices can endogenously generate self-reinforcing booms and busts in house prices and significantly strengthen the role of collateral constraints in aggregate fluctuations. The model can quantitatively account for the 2001-2008 U.S. boom-bust cycle in house prices and associated household debt and consumption dynamics. It also demonstrates that allowing for imperfect knowledge of agents, a higher leveraged economy is more prone to self-reinforcing fluctuations.
- Sprache
-
Englisch
- Erschienen in
-
Series: Birmingham Business School Discussion Paper Series ; No. 2014-04
- Klassifikation
-
Wirtschaft
Search; Learning; Information and Knowledge; Communication; Belief; Unawareness
Expectations; Speculations
Business Fluctuations; Cycles
Financial Markets and the Macroeconomy
- Thema
-
Boom-Bust
Collateral Constraints
Learning
Leverage
Housing
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Kuang, Pei
- Ereignis
-
Veröffentlichung
- (wer)
-
University of Birmingham, Birmingham Business School
- (wo)
-
Birmingham
- (wann)
-
2014
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:45 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Kuang, Pei
- University of Birmingham, Birmingham Business School
Entstanden
- 2014
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