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Modeling a Housing and Mortgage Crisis

In: Financial Stability, Monetary Policy, and Central Banking

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  • Charles A.E. Goodhart

    (London School of Economics)

  • Dimitrios P. Tsomocos

    (University of Oxford)

  • Alexandros P. Vardoulakis

    (Banque de France)

Abstract

The purpose of this paper is to explore financial instability in this case due to a housing crisis and defaults on mortgages. The model incorporates heterogeneous banks and households. Mortgages are secured by collateral, which is equal to the amount of housing which agents purchase. Individual default is spread through the economy via the interbank market. Several comparative statistics illustrate the directional effects of a variety of shocks in the economy.

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This chapter was published in: Rodrigo Alfaro (ed.) Financial Stability, Monetary Policy, and Central Banking, , chapter 08, pages 215-253, 2011.

This item is provided by Central Bank of Chile in its series Central Banking, Analysis, and Economic Policies Book Series with number v15c08pp215-253.

Handle: RePEc:chb:bcchsb:v15c08pp215-253

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  1. Pradeep Dubey & John Geanakoplos & Martin Shubik, 2001. "Default and Punishment in General Equilibrium," Cowles Foundation Discussion Papers 1304R5, Cowles Foundation for Research in Economics, Yale University, revised Mar 2004.
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