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Housing, portfolio choice, and the macroeconomy Author info | Abstract | Publisher info | Download info | Related research | Statistics Pedro Silos
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Much of the macroeconomics literature dealing with wealth distribution has become abstracted from modeling housing explicitly. This paper investigates the properties of the wealth distribution and the portfolio composition regarding housing and equity holdings and their relationship to macroeconomic shocks. To this end, I construct a business cycle model in which agents differ in age, income, and wealth and derive utility from housing services. The model is consistent with several facts such as the life-cycle pattern of housing-to-wealth ratios, the larger degree of concentration for nonhousing wealth, and the smaller weight of housing in richer households’ portfolios as well as the larger housing-to-wealth ratios in recessions. In addition, the model delivers the familiar business-cycle moments regarding relative standard deviations and procyclicality of consumption, investment, and employment.
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Paper provided by Federal Reserve Bank of Atlanta in its series Working Paper with number
2005-21.
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Date of creation: 2005Date of revision:
Handle: RePEc:fip:fedawp:2005-21Contact details of provider: Postal: 1000 Peachtree St., N.E., Atlanta, Georgia 30309 Phone: 404-521-8500 Email: Web page: http://www.frbatlanta.org/ More information through EDIRC
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References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.: Edward C. Prescott, 1986.
"Theory ahead of business cycle measurement ,"
Quarterly Review ,
Federal Reserve Bank of Minneapolis, issue Fall, pages 9-22.
[Downloadable!]
Other versions:
Edward C. Prescott, 1986.
"Theory ahead of business cycle measurement ,"
Staff Report
102, Federal Reserve Bank of Minneapolis.
[Downloadable!] Prescott, Edward C., 1986.
"Theory ahead of business-cycle measurement ,"
Carnegie-Rochester Conference Series on Public Policy ,
Elsevier, vol. 25(1), pages 11-44, January.
[Downloadable!] (restricted) Huggett, Mark, 1996.
"Wealth distribution in life-cycle economies ,"
Journal of Monetary Economics ,
Elsevier, vol. 38(3), pages 469-494, December.
[Downloadable!] (restricted)
Silos, Pedro, 2006.
"Assessing Markov chain approximations: A minimal econometric approach ,"
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Hamilton, James D, 1989.
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Econometrica ,
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[Downloadable!] (restricted)
Antonia Díaz & Maria Jose Luengo-Prado, 2006.
"The Wealth Distribution With Durable Goods ,"
Economics Working Papers
we067027, Universidad Carlos III, Departamento de Economía.
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Mark Huggett & Gustavo Ventura, 1999.
"On the Distributional Effects of Social Security Reform ,"
Review of Economic Dynamics ,
Elsevier for the Society for Economic Dynamics, vol. 2(3), pages 498-531, July.
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Other versions:
Hugett, M. & Ventura, G., 1997.
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UWO Department of Economics Working Papers
9710, University of Western Ontario, Department of Economics.
Mark Huggett & Gustavo Ventura, 1998.
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0793, Econometric Society.
[Downloadable!]
Per Krusell & Anthony A. Smith & Jr., 1998.
"Income and Wealth Heterogeneity in the Macroeconomy ,"
Journal of Political Economy ,
University of Chicago Press, vol. 106(5), pages 867-896, October.
[Downloadable!] (restricted)
Other versions:
Per Krusell & Anthony A. Smith, Jr., .
"Income and Wealth Heterogeneity in the Macroeconomy ,"
GSIA Working Papers
1997-37, Carnegie Mellon University, Tepper School of Business.
Krusell, P & Smith Jr, A-A, 1995.
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399, University of Rochester - Center for Economic Research (RCER).
Joseph Gruber & Robert Martin, 2003.
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International Finance Discussion Papers
773, Board of Governors of the Federal Reserve System (U.S.).
[Downloadable!]
David K. Backus & Patrick J. Kehoe, 1991.
"International evidence on the historical properties of business cycles ,"
Staff Report
145, Federal Reserve Bank of Minneapolis.
[Downloadable!]
Other versions:
David K. Backus & Patrick J. Kehoe, 1992.
"International Evidence on the Historical Properties of Business Cycles ,"
Working Papers
92-5, New York University, Leonard N. Stern School of Business, Department of Economics.
Backus, David K & Kehoe, Patrick J, 1992.
"International Evidence of the Historical Properties of Business Cycles ,"
American Economic Review ,
American Economic Association, vol. 82(4), pages 864-88, September.
[Downloadable!] (restricted) Jesus Fernandez-Villaverde & Dirk Krueger, 2004.
"Consumption and Saving over the Life Cycle: How Important are Consumer Durables? ,"
2004 Meeting Papers
357b, Society for Economic Dynamics.
Rios-Rull, Jose-Victor, 1996.
"Life-Cycle Economies and Aggregate Fluctuations ,"
Review of Economic Studies ,
Blackwell Publishing, vol. 63(3), pages 465-89, July.
[Downloadable!] (restricted)
Aiyagari, S Rao, 1994.
"Uninsured Idiosyncratic Risk and Aggregate Saving ,"
The Quarterly Journal of Economics ,
MIT Press, vol. 109(3), pages 659-84, August.
[Downloadable!] (restricted)
Other versions:
Full
references Cited by : (explanations , Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.)
Den Haan, Wouter, 2008.
"Assessing the Accuracy of the Aggregate Law of Motion in Models with Heterogeneous Agents ,"
CEPR Discussion Papers
6971, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted)
repec:bep:mactop:v:7:y:2007:i:1:p:1486-1486 is not listed on IDEAS
Richard Disney & Sarah Bridges & John Gathergood, 2006.
"Housing Wealth and Household Indebtedness: Is there a Household 'Financial Accelerator'? ,"
Working Papers
2006/12, Czech National Bank, Research Department.
[Downloadable!]
Pedro Silos, 2005.
"Housing tenure and wealth distribution in life-cycle economies ,"
Working Paper
2005-25, Federal Reserve Bank of Atlanta.
[Downloadable!]
Other versions: Nobuhiro Kiyotaki & Alexander Michaelides & Kalin Nikolov, 2007.
" Winners and Losers in Housing Markets ,"
CDMA Conference Paper Series
0705, Centre for Dynamic Macroeconomic Analysis.
[Downloadable!]
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