Replication data for: House Prices, Borrowing Constraints, and Monetary Policy in the Business Cycle
Principal Investigator(s): View help for Principal Investigator(s) Matteo Iacoviello
Version: View help for Version V1
| Name | File Type | Size | Last Modified |
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| Houseprices_AER | 12/06/2019 03:32:PM | ||
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text/plain | 14.6 KB | 12/06/2019 10:32:AM |
Project Citation:
Iacoviello, Matteo. Replication data for: House Prices, Borrowing Constraints, and Monetary Policy in the Business Cycle. Nashville, TN: American Economic Association [publisher], 2005. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2019-12-06. https://doi.org/10.3886/E116053V1
Project Description
Summary:
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I develop and estimate a monetary business cycle model with nominal loans and collateral constraints tied to housing values. Demand shocks move housing and nominal prices in the same direction, and are amplified and propagated over time. The financial accelerator is not uniform: nominal debt dampens supply shocks, stabilizing the economy under interest rate control. Structural estimation supports two key model features: collateral effects dramatically improve the response of aggregate demand to housing price shocks; and nominal debt improves the sluggish response of output to inflation surprises. Finally, policy evaluation considers the role of house prices and debt indexation in affecting monetary policy trade-offs.
Scope of Project
JEL Classification:
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E32 Business Fluctuations; Cycles
R21 Urban, Rural, Regional, Real Estate, and Transportation Economics: Housing Demand
E32 Business Fluctuations; Cycles
R21 Urban, Rural, Regional, Real Estate, and Transportation Economics: Housing Demand
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