Boom and Burst in Housing Market with Heterogeneous Agents (New Version)

Guido Ascari, Nicolò Pecora () and Alessandro Spelta ()
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Nicolò Pecora: Department of Economics and Social Sciences, Università Cattolica del Sacro Cuore
Alessandro Spelta: Department of Economics and Management, University of Pavia

No 36, DEM Working Papers Series from University of Pavia, Department of Economics and Management

Abstract: We study the housing market using a partial "dis"-equilibrium dynamic model in which the rational expectations hypothesis is relaxed in favor of chartist-fundamentalist mechanism to allows for the endogenous development of bubbles. Our model is able to replicate the recent house price dynamics in the US, with the preference shock being the main forcing variable. We also analyze the role of the interest rate policy. Our model supports the view that anchoring the interest rate to the change in house price would have reduced the volatility and the distortion in the price dynamics.

Keywords: Heterogeneous agents; house price; agent-based model (search for similar items in EconPapers)
JEL-codes: E3 E4 (search for similar items in EconPapers)
Pages: 28 pages
Date: 2013-03
New Economics Papers: this item is included in nep-mac and nep-ure
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:pav:demwpp:036

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