Getting at Systemic Risk via an Agent-Based Model of the Housing Market

John Geanakoplos (), Robert Axtell, J. Farmer, Peter Howitt, Benjamin Conlee, Jonathan Goldstein, Matthew Hendrey, Nathan Palmer and Chun-Yi Yang
Additional contact information
John Geanakoplos: Cowles Foundation, Yale University, https://economics.yale.edu/people/faculty/john-geanakoplos
Benjamin Conlee: Ellington Management Group
Jonathan Goldstein: George Mason University
Matthew Hendrey: George Mason University
Chun-Yi Yang: George Mason University

No 1852, Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University

Abstract: 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)
Pages: 13 pages
Date: 2012-03
New Economics Papers: this item is included in nep-cmp, nep-mac and nep-ure
Note: CFP 1358
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (101)

Published in American Economic Review: Papers and Proceedings (May 2012), 102(3): 53-58

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