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Housing and the business cycle revisited

Daniel Fehrle ()

Journal of Economic Dynamics and Control, 2019, vol. 99, issue C, 103-115

Abstract: I present a multisectoral DSGE model with housing, real frictions, and variable capital utilization that generates aggregate and sectoral co-movements due to uncorrelated sector-specific shocks. Major advances are the robust positive correlations of residential investment with house prices and business investment. In addition, business investment is lagging other economic activities. The key improvements are adjustment costs to business investment. I identify the parameters of the exogenous shock processes, business adjustment costs, and variable capital utilization with Bayesian estimation; the results confirm those obtained from earlier work in this field.

Keywords: Housing market; Multisectoral co-movements; Aggregated co-movements (search for similar items in EconPapers)
JEL-codes: E13 E32 O41 R31 (search for similar items in EconPapers)
Date: 2019
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Working Paper: Housing and the Business Cycle Revisited (2018) Downloads
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Handle: RePEc:eee:dyncon:v:99:y:2019:i:c:p:103-115