TY - UNPB
T1 - Forty Years of Real Estate Cycles in the US - Stylized Facts and a non-linear dynamic Model with Keynesian Policy Implications
AU - Walther, Herbert
PY - 2015/4/1
Y1 - 2015/4/1
N2 - This paper tries to replicate some stylized facts related to real estate cycles in the US by a non-linear Keynesian macro-model in continuous time. During the last
fty years three counter-clockwise trajectories of home prices, residential in- vestment, household debt and real mortgage interest rates can be observed. Those and further stylized facts get simulated via stock-ow consistent interactions of a Marshallian housing market, a household sector, a banking sector, a government sector and a goods market. Some tentative conclusions can be drawn (1) The long- run e¤ect of a higher minimum equity reduces output volatility, but the impact e¤ect is deationary. (2) Fiscal policy focusing on stabilizing the government debt to GDP ratio is destabilizing, counter-cyclical
scal policy lowers output volatility. (3) Lower capital gain and/or corporate tax rates raise output volatility. (4) Swift counter-cyclical reaction of monetary policy to deviations from targets by adjusting the short-term fund rate is necessary, but not su¢ cient for stability, as the pass throughto long-term interest rates is crucial. (5) Enforcing stricter/softer sectorial creditworthiness criteria vis-a-vis home buyers during the boom/recession reduces output and home price volatility and might be superior to pure interest policy.
AB - This paper tries to replicate some stylized facts related to real estate cycles in the US by a non-linear Keynesian macro-model in continuous time. During the last
fty years three counter-clockwise trajectories of home prices, residential in- vestment, household debt and real mortgage interest rates can be observed. Those and further stylized facts get simulated via stock-ow consistent interactions of a Marshallian housing market, a household sector, a banking sector, a government sector and a goods market. Some tentative conclusions can be drawn (1) The long- run e¤ect of a higher minimum equity reduces output volatility, but the impact e¤ect is deationary. (2) Fiscal policy focusing on stabilizing the government debt to GDP ratio is destabilizing, counter-cyclical
scal policy lowers output volatility. (3) Lower capital gain and/or corporate tax rates raise output volatility. (4) Swift counter-cyclical reaction of monetary policy to deviations from targets by adjusting the short-term fund rate is necessary, but not su¢ cient for stability, as the pass throughto long-term interest rates is crucial. (5) Enforcing stricter/softer sectorial creditworthiness criteria vis-a-vis home buyers during the boom/recession reduces output and home price volatility and might be superior to pure interest policy.
UR - https://www.researchgate.net/publication/272173848_Forty_Years_of_Real_Estate_Cycles_in_the_US_-_Stylized_Facts_and_a_non-linear_dynamic_Model_with_Keynesian_Policy_Implications
M3 - Working Paper/Preprint
BT - Forty Years of Real Estate Cycles in the US - Stylized Facts and a non-linear dynamic Model with Keynesian Policy Implications
ER -