Heterogeneous beliefs and housing-market boom-bust cycles

Tomura, Hajime

Journal of Economic Dynamics and Control, 2013, 37(4), 735-755

Permalink : https://hdl.handle.net/2115/52667

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JEDC37-4_735-755	pdf	1.11 MB	1,400

アクセス権	open access
URI	https://hdl.handle.net/2115/52667
タイトル	Heterogeneous beliefs and housing-market boom-bust cycles
著者	著者名 Tomura, Hajime
言語	英語
キーワード	Asset price bubbles
	Monetary policy
	Financial liberalization
	House prices
	Credit constraints
発行日	2013-04
出版者	Elsevier B.V.
収録物名	Journal of Economic Dynamics and Control
巻(号)	37(4)
ページ	735-755
抄録	This paper presents a business cycle model capturing the stylized features of housing-market boom-bust cycles in developed countries. The model implies that over-optimism of mortgage borrowers generates housing-market boom-bust cycles, if mortgage borrowers are credit-constrained and savers do not share their optimism. This result holds without price stickiness. If price stickiness is introduced into the model, then the model replicates a low policy interest rate during a housing boom as an endogenous reaction to a low inflation rate, given a Taylor rule. Thus, monetary easing observed during housing booms are consistent with the presence of over-optimism causing boom-bust cycles.
資源タイプ	学術雑誌論文
出版タイプ	Accepted Manuscript
PISSN	0165-1889
関連情報 (isVersionOf)	出版社版DOI https://doi.org/10.1016/j.jedc.2012.11.002