A Quantitative Analysis of the US Housing and Mortgage Markets and the Mortgage Crisis
We construct a quantitative equilibrium model that accounts for the salient features of the US housing market, namely, the homeownership rate, the average foreclosure rate prior to the crisis and the distribution of home-equity ratios across homeowners. Given this steady state, we examine the consequences of a 3 percent unexpected increase in the supply of housing on house prices and foreclosures. We analyze the impact of the tax code, namely the the fact that the implicit rental income from housing is not taxed and that the mortgage interest payment is tax deductible, for the steady state of the model as well as for the impact of the unanticipated supply shock. We show that the model is able to account for the observed decline in house prices with a modest increase in the cost of new mortgages following the shock (crisis) and predicts a large increase in foreclosures.
|Date of creation:||2011|
|Date of revision:|
|Contact details of provider:|| Postal: Society for Economic Dynamics Marina Azzimonti Department of Economics Stonybrook University 10 Nicolls Road Stonybrook NY 11790 USA|
Web page: http://www.EconomicDynamics.org/
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- Piskorski, Tomasz & Seru, Amit & Vig, Vikrant, 2010.
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09-12, Federal Reserve Bank of Boston.
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- Matteo Iacoviello & Marina Pavan, 2009. "Housing and Debt Over the Life Cycle and Over the Business Cycle," Boston College Working Papers in Economics 723, Boston College Department of Economics, revised 19 Sep 2011.
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"The value of foreclosed property,"
2004-022, Federal Reserve Bank of St. Louis.
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"Accounting for Changes in the Homeownership Rate,"
Computing in Economics and Finance 2005
304, Society for Computational Economics.
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- Matthew Chambers & Carlos Garriga & Don E. Schlagenhauf, 2007. "Accounting for changes in the homeownership rate," FRB Atlanta Working Paper 2007-21, Federal Reserve Bank of Atlanta.
- Yoshiro Miwa & Matthew Chambers & Carlos Garriga & Don E. Schlagenhauf, 2004. "Accounting for Changes in the Homeownership Rate," CIRJE F-Series CIRJE-F-312, CIRJE, Faculty of Economics, University of Tokyo.
- Matthew Chambers & Carlos Garriga & Don E. Schlagenhauf, 2007. "Accounting for changes in the homeownership rate," Working Papers 2007-034, Federal Reserve Bank of St. Louis.
- Martin Gervais, 1998.
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UWO Department of Economics Working Papers
9807, University of Western Ontario, Department of Economics.
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