Collateral constraints and macroeconomic asymmetries

• 成果类型: Article
• 署名作者: Guerrieri, Luca; Iacoviello, Matteo
• 署名单位: Federal Reserve System - USA; Federal Reserve System Board of Governors; Federal Reserve System - USA; Federal Reserve System Board of Governors
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2017.06.004
• 发表日期: 2017
• 页码: 28-49
• 关键词: housing; collateral constraints; occasionally binding constraints; Nonlinear estimation of DSGE models; great recession

摘要

Full information methods are used to estimate a nonlinear general equilibrium model where occasionally binding collateral constraints on housing wealth drive an asymmetry in the link between housing prices and economic activity. The estimated model shows that, as collateral constraints became slack during the housing boom of 2001-2006, expanding housing wealth made a small contribution to consumption growth. By contrast, the housing collapse that followed tightened the constraints and sharply exacerbated the recession of 2007-2009. The empirical relevance of this asymmetry is corroborated by evidence from state- and MSA-level data. (C) 2017 Published by Elsevier B.V.