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Using a DSGE model to look at the recent boom-bust cycle in the US

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  • Marco Ratto
  • Werner Roeger
  • Jan in 't Veld

Abstract

This paper presents a DSGE model with residential investment and credit-constrained households estimated with US data over the period 1980Q1-2008Q4. In order to better understand speculative movements of house prices, we model land as an exhaustible resource, implying that house prices have asset market characteristics.We conduct an event study for the US over the period 1999Q1-2008Q4 which has been characterised by a housing boom and bust and examine which shocks have contributed to the evolution of GDP and its components over this period. We devote special attention to the contribution of non-fundamental shocks to asset prices over this episode.

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File URL: http://ec.europa.eu/economy_finance/publications/economic_paper/2010/pdf/ecp397_en.pdf
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Bibliographic Info

Paper provided by Directorate General Economic and Monetary Affairs (DG ECFIN), European Commission in its series European Economy - Economic Papers with number 397.

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Length: 79 pages
Date of creation: Jan 2010
Date of revision:
Handle: RePEc:euf:ecopap:0397

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Keywords: Using a DSGE model to look at the recent boom-bu; DSGE model; Housing; Credit constraint; collateral; Bubbles; Shocks; Ratto; Roeger; in 't Veld; European Economy. Economic Papers;

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Cited by:
  1. Vogel, Lukas, 2008. "Interacting nominal and real labour market rigidities," MPRA Paper 11798, University Library of Munich, Germany.
  2. Werner Roeger & Jan in 't Veld, 2010. "Fiscal stimulus and exit strategies in the EU: a model-based analysis," European Economy - Economic Papers 426, Directorate General Economic and Monetary Affairs (DG ECFIN), European Commission.

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