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Title: Housing market dynamics : any news?
Author: Gomes, Sandra
Mendicino, Catarina
Keywords: Bayesian estimation.
News shocks
Local identification
Housing market
Financial frictions
Interest rate expectations
Issue Date: 2012
Publisher: ISEG - Departamento de Economia
Citation: Gomes, Sandra e Catarina Mendicino. 2012."Housing market dynamics : any news?". Instituto Superior de Economia e Gestão - DE working papers nº 23/2012/DE
Series/Report no.: DE working papers;nº 23/2012/DE
Abstract: This paper quanti es the importance of news shocks for housing market fl uctuations. To this purpose, we extend Iacoviello and Neri (2010) s model of the housing market to include news shocks and estimate it using Bayesian methods and U.S. data. We find that news shocks: (1) account for a sizable fraction of the variability in house prices and other macroeconomic variables over the business cycle and (2) signi cantly contributed to booms and busts episodes in house prices over the last three decades. By linking news shocks to agents expectations, we find that house price growth was positively related to infl ation expectations during the boom of the late 1970 s while it was negatively related to interest rate expectations during the housing boom that peaked in the mid-2000 s.
ISSN: 0874-4548
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Appears in Collections:DE - Documentos de trabalho / Working Papers

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