Getting at Systemic Risk via an Agent-Based Model of the Housing Market
Systemic risk must include the housing market, though economists have not generally focused on it. We begin construction of an agent-based model of the housing market with individual data from Washington, DC. Twenty years of success with agent-based models of mortgage prepayments give us hope that such a model could be useful. Preliminary analysis suggests that the housing boom and bust of 1997-2007 was due in large part to changes in leverage rather than interest rates.
|Date of creation:||Mar 2012|
|Publication status:||Published in American Economic Review: Papers and Proceedings (May 2012), 102(3): 53-58|
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|Order Information:|| Postal: Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA|
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- Edward L. Glaeser & Joshua D. Gottlieb & Joseph Gyourko, 2012.
"Can Cheap Credit Explain the Housing Boom?,"
NBER Chapters,in: Housing and the Financial Crisis, pages 301-359
National Bureau of Economic Research, Inc.
- Edward L. Glaeser & Joshua D. Gottlieb & Joseph Gyourko, 2010. "Can Cheap Credit Explain the Housing Boom?," NBER Working Papers 16230, National Bureau of Economic Research, Inc.
- Andrew F. Haughwout & Donghoon Lee & Joseph Tracy & Wilbert Van der Klaauw, 2011. "Real estate investors, the leverage cycle, and the housing market crisis," Staff Reports 514, Federal Reserve Bank of New York.
- John Geanakoplos, 2009. "The Leverage Cycle," Cowles Foundation Discussion Papers 1715R, Cowles Foundation for Research in Economics, Yale University, revised Jan 2010.
- Duca, John V & Muellbauer, John & Murphy, Anthony, 2011. "Shifting Credit Standards and the Boom and Bust in US House Prices," CEPR Discussion Papers 8361, C.E.P.R. Discussion Papers.
- John V. Duca & John Muellbauer & Anthony Murphy, 2011. "Shifting Credit Standards and the Boom and Bust in U.S. House Prices," SERC Discussion Papers 0076, Spatial Economics Research Centre, LSE.
- John V. Duca & John Muellbauer & Anthony Murphy, 2011. "Shifting credit standards and the boom and bust in U.S. house prices," LSE Research Online Documents on Economics 58533, London School of Economics and Political Science, LSE Library.
- John V. Duca & John N. Muellbauer & Anthony Murphy, 2011. "Shifting credit standards and the boom and bust in U.S. house prices," Working Papers 1104, Federal Reserve Bank of Dallas.
- Christopher D. Carroll, 1997. "Buffer-Stock Saving and the Life Cycle/Permanent Income Hypothesis," The Quarterly Journal of Economics, Oxford University Press, vol. 112(1), pages 1-55.
- John Geanakoplos, 2010. "The Leverage Cycle," NBER Chapters,in: NBER Macroeconomics Annual 2009, Volume 24, pages 1-65 National Bureau of Economic Research, Inc. Full references (including those not matched with items on IDEAS)
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