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American Economic Journal: Macroeconomics: Vol. 2 No. 2 (April 2010)

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Housing Market Spillovers: Evidence from an Estimated DSGE Model

Article Citation

Iacoviello, Matteo, and Stefano Neri. 2010. "Housing Market Spillovers: Evidence from an Estimated DSGE Model." American Economic Journal: Macroeconomics, 2(2): 125-64.

DOI: 10.1257/mac.2.2.125

Abstract

We study sources and consequences of fluctuations in the US housing market. Slow technological progress in the housing sector explains the upward trend in real housing prices of the last 40 years. Over the business cycle, housing demand and housing technology shocks explain one-quarter each of the volatility of housing investment and housing prices. Monetary factors explain less than 20 percent, but have played a bigger role in the housing cycle at the turn of the century. We show that the housing market spillovers are nonnegligible, concentrated on consumption rather than business investment, and have become more important over time. (JEL E23, E32, E44, O33, R31)

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Authors

Iacoviello, Matteo (Boston College)
Neri, Stefano (Bank of Italy)

JEL Classifications

E23: Macroeconomics: Production
E32: Business Fluctuations; Cycles
E44: Financial Markets and the Macroeconomy
O33: Technological Change: Choices and Consequences; Diffusion Processes
R31: Housing Supply and Markets

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