English, Article, Journal or magazine article edition: Consumption, House Prices and Collateral Constraints: a Structural Econometric Analysis Matteo Iacoviello

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Bookmark: http://trove.nla.gov.au/version/57196
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Consumption, House Prices and Collateral Constraints: a Structural Econometric Analysis
Author
  • Matteo Iacoviello
Physical Description
  • preprint
Notes
  • Housing, consumption, collateral constraints
  • RePEc:red:sed004:201
  • If borrowing capacity of indebted households is tied to the value of their home, house prices should enter a correctly specified aggregate Euler equation for consumption. I develop a simple two-agent, dynamic general equilibrium model in which home (collateral) values affect debt capacity and consumption possibilities for a fraction of the households. I then derive and estimate an aggregate consumption Euler equation, and estimate its structural parameters. The results provide robust support for housing prices as a driving force of consumption fluctuations.
  • consumption, credit, collateral constraints, house prices
  • RePEc:boc:bocoec:589
Language
  • English
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