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Modeling a Housing and Mortgage Crisis

In: Financial Stability, Monetary Policy, and Central Banking

Author

Listed:
  • 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 statics illustrate the directional effects of a variety of shocks in the economy.
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Charles A.E. Goodhart & Dimitrios P. Tsomocos & Alexandros P. Vardoulakis, 2011. "Modeling a Housing and Mortgage Crisis," Central Banking, Analysis, and Economic Policies Book Series, in: Rodrigo Alfaro (ed.),Financial Stability, Monetary Policy, and Central Banking, edition 1, volume 15, chapter 8, pages 215-253, Central Bank of Chile.
    • Handle: RePEc:chb:bcchsb:v15c08pp215-253
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    File URL: https://si2.bcentral.cl/public/pdf/banca-central/pdf/v15/Vol15_215-253.pdf
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    References listed on IDEAS

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    1. Charles Goodhart & Pojanart Sunirand & Dimitrios Tsomocos, 2006. "A model to analyse financial fragility," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 27(1), pages 107-142, January.
    2. Pradeep Dubey & John Geanakoplos & Martin Shubik, 2005. "Default and Punishment in General Equilibrium," Econometrica, Econometric Society, vol. 73(1), pages 1-37, January.
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    Cited by:

    1. Li Lin & Dimitrios P. Tsomocos & Alexandros P. Vardoulakis, 2019. "Debt deflation effects of monetary policy," Chapters, in: Financial Regulation and Stability, chapter 9, pages 245-258, Edward Elgar Publishing.
    2. Avanzini, Diego & Martı́nez, Juan Francisco & Pérez, Vı́ctor, 2020. "Assessing mortgage default risk in full-recourse economies, with an application to the case of Chile," Latin American Journal of Central Banking (previously Monetaria), Elsevier, vol. 1(1).

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