EconPapers    
Economics at your fingertips  
 

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 M. Palmer and Chun-Yi Yang
Additional contact information
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

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)
New Economics Papers: this item is included in nep-cmp, nep-mac and nep-ure
Date: 2012-03
Note: CFP 1358
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (47) Track citations by RSS feed

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

Downloads: (external link)
http://cowles.yale.edu/sites/default/files/files/pub/d18/d1852.pdf (application/pdf)

Related works:
Journal Article: Getting at Systemic Risk via an Agent-Based Model of the Housing Market (2012) Downloads
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:cwl:cwldpp:1852

Ordering information: This working paper can be ordered from
Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA
The price is None.

Access Statistics for this paper

More papers in Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University Yale University, Box 208281, New Haven, CT 06520-8281 USA. Contact information at EDIRC.
Bibliographic data for series maintained by Matthew Regan ().

 
Page updated 2019-04-21
Handle: RePEc:cwl:cwldpp:1852