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Household Volatility, Household Debt and the Great Moderation

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  • Marina Pavan

    (The Geary Institute, University College Dublin)

  • Matteo Iacoviello

    (Boston College)

Abstract

productivity is lower, as in the data. Quantitatively, larger idiosyncratic shocks can explain: (1) 5 percent of the reduction in total GDP volatility since the mid 1980s; (2) more than one half of the reduction in the volatility of household investment; (3) the sharp decline in the correlation between household debt and economic activity.

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Bibliographic Info

Paper provided by Society for Economic Dynamics in its series 2008 Meeting Papers with number 903.

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Date of creation: 2008
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Handle: RePEc:red:sed008:903

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Postal: Society for Economic Dynamics Christian Zimmermann Economic Research Federal Reserve Bank of St. Louis PO Box 442 St. Louis MO 63166-0442 USA
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  1. Jeffrey R. Campbell & Zvi Hercowitz, 2005. "The Role of Collateralized Household Debt in Macroeconomic Stabilization," NBER Working Papers 11330, National Bureau of Economic Research, Inc.
  2. 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.
  3. Lutz Hendricks, 2005. "How Important is Discount Rate Heterogeneity for Wealth Inequality?," CESifo Working Paper Series 1604, CESifo Group Munich.
  4. Pedro Silos, 2005. "Housing, portfolio choice, and the macroeconomy," Working Paper 2005-21, Federal Reserve Bank of Atlanta.
  5. Jonas D. M. Fisher & Martin Gervais, 2007. "First-time home buyers and residential investment volatility," Working Paper Series WP-07-15, Federal Reserve Bank of Chicago.
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