Housing market dynamics : any news?
Autor(a) principal: | |
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Data de Publicação: | 2012 |
Outros Autores: | |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10400.5/4576 |
Resumo: | This paper quantifes the importance of news shocks for housing market fluctuations. To this purpose, we extend Iacoviello and Neri (2010) s model of the housing market to include news shocks and estimate it using Bayesian methods and U.S. data. We find that news shocks: (1) account for a sizable fraction of the variability in house prices and other macroeconomic variables over the business cycle and (2) significantly contributed to booms and busts episodes in house prices over the last three decades. By linking news shocks to agents expectations, we find that house price growth was positively related to inflation expectations during the boom of the late 1970 s while it was negatively related to interest rate expectations during the housing boom that peaked in the mid-2000s. |
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Housing market dynamics : any news?Bayesian EstimationNews ShocksLocal IdentificationHousing MarketFinancial FrictionsInflationInterest Rate ExpectationsThis paper quantifes the importance of news shocks for housing market fluctuations. To this purpose, we extend Iacoviello and Neri (2010) s model of the housing market to include news shocks and estimate it using Bayesian methods and U.S. data. We find that news shocks: (1) account for a sizable fraction of the variability in house prices and other macroeconomic variables over the business cycle and (2) significantly contributed to booms and busts episodes in house prices over the last three decades. By linking news shocks to agents expectations, we find that house price growth was positively related to inflation expectations during the boom of the late 1970 s while it was negatively related to interest rate expectations during the housing boom that peaked in the mid-2000s.ISEG - Departamento de EconomiaRepositório da Universidade de LisboaGomes, SandraMendicino, Catarina2012-07-25T10:36:03Z20122012-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/4576engGomes, Sandra e Catarina Mendicino. 2012."Housing market dynamics : any news?". Instituto Superior de Economia e Gestão - DE working papers nº 23-2012/DE0874-4548info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-03-06T14:35:33Zoai:www.repository.utl.pt:10400.5/4576Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T16:52:12.701418Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
Housing market dynamics : any news? |
title |
Housing market dynamics : any news? |
spellingShingle |
Housing market dynamics : any news? Gomes, Sandra Bayesian Estimation News Shocks Local Identification Housing Market Financial Frictions Inflation Interest Rate Expectations |
title_short |
Housing market dynamics : any news? |
title_full |
Housing market dynamics : any news? |
title_fullStr |
Housing market dynamics : any news? |
title_full_unstemmed |
Housing market dynamics : any news? |
title_sort |
Housing market dynamics : any news? |
author |
Gomes, Sandra |
author_facet |
Gomes, Sandra Mendicino, Catarina |
author_role |
author |
author2 |
Mendicino, Catarina |
author2_role |
author |
dc.contributor.none.fl_str_mv |
Repositório da Universidade de Lisboa |
dc.contributor.author.fl_str_mv |
Gomes, Sandra Mendicino, Catarina |
dc.subject.por.fl_str_mv |
Bayesian Estimation News Shocks Local Identification Housing Market Financial Frictions Inflation Interest Rate Expectations |
topic |
Bayesian Estimation News Shocks Local Identification Housing Market Financial Frictions Inflation Interest Rate Expectations |
description |
This paper quantifes the importance of news shocks for housing market fluctuations. To this purpose, we extend Iacoviello and Neri (2010) s model of the housing market to include news shocks and estimate it using Bayesian methods and U.S. data. We find that news shocks: (1) account for a sizable fraction of the variability in house prices and other macroeconomic variables over the business cycle and (2) significantly contributed to booms and busts episodes in house prices over the last three decades. By linking news shocks to agents expectations, we find that house price growth was positively related to inflation expectations during the boom of the late 1970 s while it was negatively related to interest rate expectations during the housing boom that peaked in the mid-2000s. |
publishDate |
2012 |
dc.date.none.fl_str_mv |
2012-07-25T10:36:03Z 2012 2012-01-01T00:00:00Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10400.5/4576 |
url |
http://hdl.handle.net/10400.5/4576 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
Gomes, Sandra e Catarina Mendicino. 2012."Housing market dynamics : any news?". Instituto Superior de Economia e Gestão - DE working papers nº 23-2012/DE 0874-4548 |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.publisher.none.fl_str_mv |
ISEG - Departamento de Economia |
publisher.none.fl_str_mv |
ISEG - Departamento de Economia |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
instname_str |
Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
instacron_str |
RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
collection |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository.name.fl_str_mv |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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1799130998829481984 |