Housing and debt over the life cycle and over the business cycle

Matteo Iacoviello and Marina Pavan

No 1032, International Finance Discussion Papers from Board of Governors of the Federal Reserve System (U.S.)

Abstract: We study housing and debt in a quantitative general equilibrium model. In the cross-section, the model matches the wealth distribution, the age pro.les of homeownership and mortgage debt, and the frequency of housing adjustment. In the time-series, the model matches the procyclicality and volatility of housing investment, and the procyclicality of mortgage debt. We use the model to conduct two experiments. First, we investigate the consequences of higher individual income risk and lower downpayments, and .nd that these two changes can explain, in the model and in the data, the reduced volatility of housing investment, the reduced procyclicality of mortgage debt, and a small fraction of the reduced volatility of GDP. Second, we use the model to look at the behavior of housing investment and mortgage debt in an experiment that mimics the Great Recession: we find that countercyclical financial conditions can account for large drops in housing activity and mortgage debt when the economy is hit by large negative shocks.

Date: 2011
New Economics Papers: this item is included in nep-dge, nep-mac and nep-ure
References: Add references at CitEc
Citations: View citations in EconPapers (41)

Downloads: (external link)
http://www.federalreserve.gov/pubs/ifdp/2011/1032/default.htm (text/html)
http://www.federalreserve.gov/pubs/ifdp/2011/1032/ifdp1032.pdf (application/pdf)

Related works:
Journal Article: Housing and debt over the life cycle and over the business cycle (2013)
Working Paper: Housing and Debt Over the Life Cycle and Over the Business Cycle (2011)
Working Paper: Housing and debt over the Life Cycle and over the Business Cycle (2011)
Working Paper: Housing and debt over the life cycle and over the business cycle (2009)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:fip:fedgif:1032

Access Statistics for this paper

More papers in International Finance Discussion Papers from Board of Governors of the Federal Reserve System (U.S.) Contact information at EDIRC.
Bibliographic data for series maintained by Ryan Wolfslayer ; Keisha Fournillier ().