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  1. House price expectations and housing choice
    Autor*in: Ludwig, Alexander; Mankart, Jochen; Quintana, Jorge; Vellekoop, Nathanael; Wiederholt, Mirko
    Erschienen: February 15, 2019
    Verlag:  Verein für Socialpolitik, [Leipzig]

    What is the role of heterogenous house-price expectations for boom-bust cycles in the housing market? We exploit a unique Dutch panel data set on households' house price expectations and their consumption, savings and housing choices for the period... mehr

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    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DSM 13
    Fernleihe:
    keine Fernleihe

     

    What is the role of heterogenous house-price expectations for boom-bust cycles in the housing market? We exploit a unique Dutch panel data set on households' house price expectations and their consumption, savings and housing choices for the period 2003-2016. This period was characterized by a pronounced boom-bust cycle in the housing market. Conditioning the sample on household heads who report non-zero house price expectations, we find that expectations closely track realized house prices. We next develop a structural life-cycle model of the Dutch housing market where we distinguish household types according to their house price expectations. We employ a calibrated model variant to test if observed variations in expectations can account for the housing boom-bust cycle. First results show that our model closely matches the observed fluctuations of the rent-to-price ratio in the data but overshoots the size of the housing boom.

     
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/203516
    Schriftenreihe: Array ; Array
    Umfang: 1 Online-Ressource (circa 27 Seiten), Illustrationen
  2. Model uncertainty in macroeconomics: on the implications of financial frictions
    Autor*in: Binder, Michael; Lieberknecht, Philipp; Quintana, Jorge; Wieland, Volker
    Erschienen: 2017
    Verlag:  Universitätsbibliothek Johann Christian Senckenberg, Frankfurt am Main

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  3. Model uncertainty in macroeconomics
    on the implications of financial frictions
    Autor*in: Binder, Michael; Lieberknecht, Philipp; Quintana, Jorge; Wieland, Volker
    Erschienen: March 31, 2017
    Verlag:  Institute for Monetary and Financial Stability, Goethe University Frankfurt am Main, Frankfurt am Main

    For some time now, structural macroeconomic models used at central banks have been predominantly New Keynesian DSGE models featuring nominal rigidities and forwardlooking decision-making. While these features are widely deemed crucial for policy... mehr

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 464 (114)
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    keine Fernleihe

     

    For some time now, structural macroeconomic models used at central banks have been predominantly New Keynesian DSGE models featuring nominal rigidities and forwardlooking decision-making. While these features are widely deemed crucial for policy evaluation exercises, most central banks have added more detailed characterizations of the financial sector to these models following the Great Recession in order to improve their fit to the data and their forecasting performance. We employ a comparative approach to investigate the characteristics of this new generation of New Keynesian DSGE models and document an elevated degree of model uncertainty relative to earlier model generations. Policy transmission is highly heterogeneous across types of financial frictions and monetary policy causes larger effects, on average. The New Keynesian DSGE models we analyze suggest that a simple policy rule robust to model uncertainty involves a weaker response to inflation and the output gap in the presence of financial frictions as compared to earlier generations of such models. Leaning-against-the-wind policies in models of this class estimated for the Euro Area do not lead to substantial gains. With regard to forecasting performance, the inclusion of financial frictions can generate improvements, if conditioned on appropriate data. Looking forward, we argue that model-averaging and embracing alternative modelling paradigms is likely to yield a more robust framework for the conduct of monetary policy.

     
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/168565
    Schriftenreihe: Working paper series / Institute for Monetary and Financial Stability ; no. 114 (2017)
    Schlagworte: Neoklassische Synthese; DSGE-Modell; Finanzsektor; Risiko; Stabilisierungspolitik; Prognoseverfahren; Geldpolitische Transmission; Theorie; Eurozone
    Umfang: 1 Online-Ressource (circa 67 Seiten), Illustrationen
  4. Model uncertainty in macroeconomics
    on the implications of financial frictions
    Autor*in: Binder, Michael; Lieberknecht, Philipp; Quintana, Jorge; Wieland, Volker
    Erschienen: 28 April 2017
    Verlag:  Centre for Economic Policy Research, London

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    W 32 (12013)
    Fernleihe:
    uneingeschränkte Fernleihe, Kopie und Ausleihe
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Druck
    Schriftenreihe: Array ; DP 12013
    Schlagworte: Neoklassische Synthese; DSGE-Modell; Finanzsektor; Risiko; Stabilisierungspolitik; Prognoseverfahren; Geldpolitische Transmission; Theorie; Eurozone
    Umfang: 61 Seiten, Illustrationen
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