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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