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Iacoviello, Matteo - In: Review of Economic Dynamics 18 (2015) 1, pp. 140-164

Using Bayesian methods, I estimate a DSGE model where a recession is initiated by losses suffered by banks and exacerbated by their inability to extend credit to the real sector. The event triggering the recession has the workings of a redistribution shock: a small sector of the economy --...

Persistent link: https://www.econbiz.de/10011160662

Credit Crunches and Credit Allocation in a Model of Entrepreneurship

Bassetto, Marco; Cagetti, Marco; Nardi, Mariacristina De - In: Review of Economic Dynamics 18 (2015) 1, pp. 53-76

We study the effects of credit shocks in a model with heterogeneous entrepreneurs, financing constraints, and a realistic firm-size distribution. As entrepreneurial firms can grow only slowly and rely heavily on retained earnings to expand the size of their business, we show that, by reducing...

Persistent link: https://www.econbiz.de/10011160658

A Quantitative Analysis of the US Housing and Mortgage Markets and the Foreclosure Crisis

Chatterjee, Satyajit; Eyigungor, Burcu - In: Review of Economic Dynamics 18 (2015) 2, pp. 165-184

We present a model of long-duration collateralized debt with risk of default. Applied to the housing market, it can … across homeowners prior to the recent crisis. We stress the role of favorable tax treatment of housing in matching these …

Persistent link: https://www.econbiz.de/10011268090

Leveraged Borrowing and Boom-Bust Cycles

Pintus, Patrick; Wen, Yi - In: Review of Economic Dynamics 16 (2013) 4, pp. 617-633

Investment booms and asset "bubbles" are often the consequence of heavily leveraged borrowing and speculations of persistent growth in asset demand. We show theoretically that dynamic interactions between elastic credit supply (due to leveraged borrowing) and persistent credit demand (due to...

Persistent link: https://www.econbiz.de/10010856604

Innovations in Information Technology and the Mortgage Market

Guler, Bulent - In: Review of Economic Dynamics

In this paper I analyze the effects of innovations in information technology on the mortgage and housing markets using … explicitly model the housing tenure choices of households. Lenders offer individual-specific mortgage contracts to home buyers …

Persistent link: https://www.econbiz.de/10011103247

Preferences for Risk in Dynamic Models with Adjustment Costs

Vereshchagina, Galina - In: Review of Economic Dynamics 17 (2014) 1, pp. 86-106

This paper characterizes the solution to a consumption/savings decision problem in which one of the consumption goods involves transaction costs. It then analyzes how such adjustment costs affect consumers' risk attitudes. Previous studies have suggested that transaction costs, by resulting in...

Persistent link: https://www.econbiz.de/10010729239

Consumption over the Life Cycle: How Different is Housing?

Yang, Fang - In: Review of Economic Dynamics 12 (2009) 3, pp. 423-443

Micro data over the life cycle show different patterns for consumption for housing and non-housing goods: The … consumption profile of non-housing goods is hump-shaped, while the consumption profile for housing first increases monotonically …. Borrowing constraints are essential in explaining the accumulation of housing assets early in life, while transaction costs are …

Persistent link: https://www.econbiz.de/10004991314

On the User Cost and Homeownership

Diaz, Antonia; Prado, Maria Jose Luengo - In: Review of Economic Dynamics 11 (2008) 3, pp. 584-613

This paper studies the differences in the cost of housing services for renters and homeowners and calculates the bias … that results when we value owner-occupied housing services using a rental equivalence approach. Our framework is a life …-cycle model with endogenous tenure choice with households facing idiosyncratic uninsurable earnings risk and housing price risk …

Persistent link: https://www.econbiz.de/10005069648

Housing and Liquidity

He, Chao; Wright, Randall; Zhu, Yu - In: Review of Economic Dynamics

Coinciding with the start of the housing boom were large increases in home-equity lending and loan-to-equity ratios. We … study this in models where housing bears a liquidity premium because it collateralizes loans. Even with fundamentals …

Persistent link: https://www.econbiz.de/10011103252

Household leveraging and deleveraging

Justiniano, Alejandro; Primiceri, Giorgio; Tambalotti, … - In: Review of Economic Dynamics 18 (2015) 1, pp. 3-20

U.S. households' debt skyrocketed between 2000 and 2007, and has been falling since. This leveraging (and deleveraging) cycle cannot be accounted for by the relaxation, and subsequent tightening, of collateral requirements in mortgage markets observed during the same period. We base this...

Persistent link: https://www.econbiz.de/10011207933