Learning from House Prices: Amplification and Business Fluctuations

• 成果类型: Article
• 署名作者: Chahrour, Ryan; Gaballo, Gaetano
• 署名单位: Boston College; Hautes Etudes Commerciales (HEC) Paris; Centre for Economic Policy Research - UK
• 刊物名称: REVIEW OF ECONOMIC STUDIES
• ISSN/ISSBN: 0034-6527
• DOI: 10.1093/restud/rdaa079
• 发表日期: 2021
• 页码: 1720-1759
• 关键词: monetary-policy; INFORMATION; consumption; booms; cycle; demand; busts; news; expectations; CONVERGENCE

摘要

We formalize the idea that house price changes may drive rational waves of optimism and pessimism in the economy. In our model, a house price increase caused by aggregate disturbances may be misinterpreted as a sign of higher local permanent income, leading households to demand more consumption and housing. Higher demand reinforces the initial price increase in an amplification loop that drives comovement in output, labour, residential investment, land prices, and house prices even in response to aggregate supply shocks. The qualitative implications of our otherwise frictionless model are consistent with observed business cycles and it can explain the economic impact of apparently autonomous changes in sentiment without resorting to non-fundamental shocks or nominal rigidity.