This paper examines the welfare cost of rare housing disasters characterized by large drops in house prices. I … construct an overlapping generations general equilibrium model with recursive preferences and housing disaster shocks. The … likelihood and magnitude of housing disasters are inferred from historic housing market experiences in the OECD. The model shows …

The paper presents a model of housing and credit cycles featuring distorted beliefs and comovement and mutual …) development in house prices fuels optimism (pessimism) and credit expansion (contraction), which in turn boost (dampen) housing …

The risk premium puzzle is even worse than previously reported if housing is also taken into consideration next to … equity. While housing premia are only moderately smaller than equity premia, they are significantly less volatile and the … Sharpe ratio of housing is significantly larger. Hence, three question arise: i) are existing approaches to explain the …

In this paper our main aim is to quantify the role that housing collateral plays for the monetary transmission …-to-value ratio, in the last two decades. We set up a two sector DSGE model with production of goods and housing. Households can only …. We quantify the reinforcement of the monetary transmission mechanism that housing used as collateral implies in the …