Using a DSGE model to look at the recent boom-bust cycle in the US
AbstractThis 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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Bibliographic InfoPaper provided by Directorate General Economic and Monetary Affairs (DG ECFIN), European Commission in its series European Economy - Economic Papers with number 397.
Length: 79 pages
Date of creation: Jan 2010
Date of revision:
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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;
Find related papers by JEL classification:
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- E21 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Consumption; Saving; Wealth
- E22 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Capital; Investment; Capacity
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
This paper has been announced in the following NEP Reports:
- NEP-ALL-2010-05-08 (All new papers)
- NEP-BEC-2010-05-08 (Business Economics)
- NEP-CBA-2010-05-08 (Central Banking)
- NEP-DGE-2010-05-08 (Dynamic General Equilibrium)
- NEP-URE-2010-05-08 (Urban & Real Estate Economics)
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- Vogel, Lukas, 2008.
"Interacting nominal and real labour market rigidities,"
11798, University Library of Munich, Germany.
- Vogel, Lukas, 2011. "Interacting nominal and real labour market rigidities," Economics Letters, Elsevier, vol. 111(3), pages 264-267, June.
- Vogel, Lukas, 2008. "Interacting nominal and real labour market rigidities," MPRA Paper 22647, University Library of Munich, Germany, revised May 2010.
- 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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