A Macroeconomic Model of Price Swings in the Housing Market

• 成果类型: Article
• 署名作者: Garriga, Carlos; Manuelli, Rodolfo; Peralta-Alva, Adrian
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - St. Louis; Washington University (WUSTL); Federal Reserve System - USA; Federal Reserve Bank - St. Louis; International Monetary Fund
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282
• DOI: 10.1257/aer.20140193
• 发表日期: 2019
• 页码: 2036-2072
• 关键词: land; DYNAMICS; booms

摘要

This paper shows that a macro model with segmented financial markets can generate sizable movements in housing prices in response to changes in credit conditions. We establish - theoretically that reductions in mortgage rates always have a positive effect on prices, whereas the relaxation of loan-to-value constraints has ambiguous effects. A quantitative version of the model under perfect foresight accounts for about one-half of the observed price increase in the United States in the 2000s. When we include shocks to expectations about housing finance conditions, the model's ability to match house values improves significantly. The framework reconciles the observed disconnect between house prices and rents since, in general equilibrium, financial shocks can decrease rents and increase prices. (JEL E44, G21, R31)