Housing market spillovers: evidence from an estimated DSGE model

Matteo Iacoviello and Stefano Neri

No 145, Working Paper Research from National Bank of Belgium

Abstract: We study sources and consequences of fluctuations in the housing market. The upward trend in real housing prices of the last 40 years can be explained by slow technological progress in the housing sector. Over the business cycle, housing demand and housing technology shocks explain one-quarter each of the volatility of housing investment and housing prices. Monetary factors explain 20 percent, but they played a bigger role in the housing cycle at the turn of the century. We show that the housing market spillovers are non-negligible, concentrated on consumption rather than business investment, and have become more important over time.

Keywords: Housing; Wealth E¤ects; Bayesian Estimation; Two-sector Models (search for similar items in EconPapers)
JEL-codes: E32 E44 E47 R21 R31 (search for similar items in EconPapers)
Pages: 58 pages
Date: 2008-10
New Economics Papers: this item is included in nep-dge, nep-geo, nep-mac and nep-ure
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (66)

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Related works:
Journal Article: Housing Market Spillovers: Evidence from an Estimated DSGE Model (2010)
Working Paper: Housing Market Spillovers: Evidence from an Estimated DSGE Model (2009)
Working Paper: Housing market spillovers: Evidence from an estimated DSGE model (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:nbb:reswpp:200810-20

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