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|
References listed on IDEAS
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CEPR Discussion Papers
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- 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. Full references (including those not matched with items on IDEAS)
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