Getting at Systemic Risk via an Agent-Based Model of the Housing Market
John Geanakoplos (),
J. Farmer (),
Peter Howitt (),
Nathan M. Palmer and
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John Geanakoplos: Cowles Foundation, Yale University, http://economics.yale.edu/people/john-geanakoplos
Benjamin Conlee: Ellington Management Group
Jonathan Goldstein: George Mason University
Matthew Hendrey: George Mason University
Nathan M. Palmer: George Mason University
Chun-Yi Yang: George Mason University
No 1852, Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University
Systemic risk must include the housing market, though economists have not generally focused on it. We begin construction of an agent-based model of the housing market with individual data from Washington, DC. Twenty years of success with agent-based models of mortgage prepayments give us hope that such a model could be useful. Preliminary analysis suggests that the housing boom and bust of 1997-2007 was due in large part to changes in leverage rather than interest rates.
Keywords: Agent based models; Housing prices; Boom and bust; Leverage; Interest rates; Foreclosures; Systemic risk (search for similar items in EconPapers)
JEL-codes: E3 E31 E32 E37 E44 E63 R2 R20 R21 R23 R28 R3 R30 R31 R38 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cmp, nep-mac and nep-ure
Note: CFP 1358
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Published in American Economic Review: Papers and Proceedings (May 2012), 102(3): 53-58
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