The Macroeconomic Effects of Housing Wealth, Housing Finance, and Limited Risk Sharing in General Equilibrium

• 成果类型: Article
• 署名作者: Favilukis, Jack; Ludvigson, Sydney C.; Van Nieuwerburgh, Stijn
• 署名单位: University of British Columbia; New York University; National Bureau of Economic Research; Center for Economic & Policy Research (CEPR)
• 刊物名称: JOURNAL OF POLITICAL ECONOMY
• ISSN/ISSBN: 0022-3808
• DOI: 10.1086/689606
• 发表日期: 2017
• 页码: 140-223
• 关键词: STOCK-MARKET PARTICIPATION; equity premium puzzle; business-cycle; life-cycle; heterogeneous agents; incomplete markets; asset returns; consumption; prices; income

摘要

This paper studies a quantitative general equilibrium model of housing. The model has two key elements not previously considered in existing quantitative macro studies of housing finance: aggregate business cycle risk and a realistic wealth distribution driven in the model by bequest heterogeneity in preferences. These features of the model play a crucial role in the following results. First, a relaxation of financing constraints leads to a large boomin house prices. Second, the boom in house prices is entirely the result of a decline in the housing risk premium. Third, low interest rates cannot explain high home values.