The Baby Boom: Predictability in House Prices and Interest Rates

Robert F. Martin ()

No 84, 2006 Meeting Papers from Society for Economic Dynamics

Abstract: This paper explores the baby boom's impact on U.S. house prices and interest rates in the post-war 20th century and beyond. Using a simple Lucas asset pricing model, I quantitatively account for the increase in real house prices, the path of real interest rates, and the timing of low-frequency fluctuations in real house prices. The model predicts that the primary force underlying the evolution of real house prices is the systematic and predictable changes in the working age population driven by the baby boom. The model is calibrated to U.S. data and tested on international data. One surprising success of the model is its ability to predict the boom and bust in Japanese real estate markets around 1974 and 1990.

Keywords: asset pricing; yield curve; moderation (search for similar items in EconPapers)
JEL-codes: E21 E31 G12 R21 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-dge, nep-mac and nep-ure
Date: 2006-12-03

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Related works:
Working Paper: The baby boom: predictability in house prices and interest rates (2005)
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Persistent link: http://EconPapers.repec.org/RePEc:red:sed006:84

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