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Using a DSGE model to look at the recent boom-bust cycle in the US

Marco Ratto (), Werner Roeger and Jan in 't Veld

No 397, European Economy - Economic Papers 2008 - 2015 from Directorate General Economic and Financial Affairs (DG ECFIN), European Commission

Abstract: This paper presents a DSGE model with residential investment and credit-constrained households estimated with US data over the period 1980Q1-2008Q4. In order to better understand speculative movements of house prices, we model land as an exhaustible resource, implying that house prices have asset market characteristics.We conduct an event study for the US over the period 1999Q1-2008Q4 which has been characterised by a housing boom and bust and examine which shocks have contributed to the evolution of GDP and its components over this period. We devote special attention to the contribution of non-fundamental shocks to asset prices over this episode.

Keywords: Using a DSGE model to look at the recent boom-bu; DSGE model; Housing; Credit constraint; collateral; Bubbles; Shocks; Ratto; Roeger; in 't Veld; European Economy. Economic Papers (search for similar items in EconPapers)
JEL-codes: C51 E21 E22 E52 (search for similar items in EconPapers)
Pages: 79 pages
Date: 2010-01
New Economics Papers: this item is included in nep-bec, nep-cba, nep-dge and nep-ure
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3) Track citations by RSS feed

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Persistent link: https://EconPapers.repec.org/RePEc:euf:ecopap:0397

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