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Please use this identifier to cite or link to this item: http://hdl.handle.net/10400.5/4576

Título: Housing market dynamics : any news?
Autor: Gomes, Sandra
Mendicino, Catarina
Palavras-chave: Bayesian estimation.
News shocks
Local identification
Housing market
Financial frictions
Inflation
Interest rate expectations
Issue Date: 2012
Editora: ISEG - Departamento de Economia
Citação: Gomes, Sandra e Catarina Mendicino. 2012."Housing market dynamics : any news?". Instituto Superior de Economia e Gestão - DE working papers nº 23/2012/DE
Relatório da Série N.º: DE working papers;nº 23/2012/DE
Resumo: 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.
URI: http://hdl.handle.net/10400.5/4576
ISSN: 0874-4548
Versão do Editor: https://aquila.iseg.utl.pt/aquila/getFile.do?method=getFile&fileId=280589&contentContextPath_PATH=/departamentos/ec/lateral/menu-working-papers/nova-serie/2012&_request_checksum_=dc69ba295344d2071d569be9af600b75a8d9e24d
Appears in Collections:DE - Documentos de trabalho / Working Papers

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