Modelling a Housing and Mortgage Crisis
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.
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Bibliographic InfoPaper provided by Financial Markets Group in its series FMG Discussion Papers with number dp649.
Date of creation: Feb 2010
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Web page: http://www.lse.ac.uk/fmg/
Other versions of this item:
- 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.
- E21 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Consumption; Saving; Wealth
- H00 - Public Economics - - General - - - General
This paper has been announced in the following NEP Reports:
- NEP-ALL-2010-03-06 (All new papers)
- NEP-BAN-2010-03-06 (Banking)
- NEP-CBA-2010-03-06 (Central Banking)
- NEP-PKE-2010-03-06 (Post Keynesian Economics)
- NEP-RMG-2010-03-06 (Risk Management)
- NEP-URE-2010-03-06 (Urban & Real Estate Economics)
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.:
- Pradeep Dubey & John Geanakoplos & Martin Shubik, 2005.
"Default and Punishment in General Equilibrium,"
Econometric Society, vol. 73(1), pages 1-37, 01.
- P. Dubey & J. Geanakoplos & M . Shubik, 2001. "Default and Punishment in General Equilibrium," Department of Economics Working Papers 01-07, Stony Brook University, Department of Economics.
- 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.
- Pradeep Dubey & John Geanakoplos & Martin Shubik, 2001. "Default and Punishment in General Equilibrium," Cowles Foundation Discussion Papers 1304, Cowles Foundation for Research in Economics, Yale University.
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