Bayesian Evaluation of DSGE Models with Housing and Collateral Effects

Alban Moura and Olivier Pierrard

Annals of Economics and Statistics, 2024, issue 155, 91-124

Abstract: Using Bayesian methods, we document that a state-of-the-art DSGE model with housing and collateral effects cannot reproduce key cyclical properties of U.S. data, particularly the volatility of U.S. house prices, the persistence of their growth rate, and their comovements with macroeconomic variables such as consumption, investment, and inflation. Two main issues are the model's inability to generate hump-shaped house-price dynamics following a shock to housing demand and the weak propagation of house-price movements to aggregate activity. We also document issues with the collateral constraint, which generates counterfactual comovements between consumption, debt, and house prices. These shortcomings raise doubts about the current specification of DSGE models with housing and collateral effects.

Keywords: DSGE Models; Housing; Collateral Constraint; Model Evaluation; Bayesian Methods. (search for similar items in EconPapers)
JEL-codes: C52 E32 E44 (search for similar items in EconPapers)
Date: 2024
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.jstor.org/stable/48795038 (text/html)

Related works:
Working Paper: How well do DSGE models with real estate and collateral constraints fit the data? (2023)
Working Paper: How well do DSGE models with real estate and collateral constraints fit the data? (2022)
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:adr:anecst:y:2024:i:155:p:91-124

DOI: 10.2307/48795038

Access Statistics for this article

Annals of Economics and Statistics is currently edited by Laurent Linnemer

More articles in Annals of Economics and Statistics from GENES Contact information at EDIRC.
Bibliographic data for series maintained by Secretariat General () and Laurent Linnemer ().