Land-Price Dynamics and Macroeconomic Fluctuations

• 成果类型: Article
• 署名作者: Liu, Zheng; Wang, Pengfei; Zha, Tao
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - San Francisco; Hong Kong University of Science & Technology; Federal Reserve System - USA; Federal Reserve Bank - Atlanta; Emory University; National Bureau of Economic Research
• 刊物名称: ECONOMETRICA
• ISSN/ISSBN: 0012-9682
• DOI: 10.3982/ECTA8994
• 发表日期: 2013
• 页码: 1147-1184
• 关键词: monetary-policy; business-cycle; corporate-investment; UNITED-STATES; Credit cycles; dsge approach; shocks; CONSEQUENCES; constraints; MODEL

摘要

We argue that positive co-movements between land prices and business investment are a driving force behind the broad impact of land-price dynamics on the macroeconomy. We develop an economic mechanism that captures the co-movements by incorporating two key features into a DSGE model: We introduce land as a collateral asset in firms' credit constraints, and we identify a shock that drives most of the observed fluctuations in land prices. Our estimates imply that these two features combine to generate an empirically important mechanism that amplifies and propagates macroeconomic fluctuations through the joint dynamics of land prices and business investment.