Dorofeenko, Victor and Lee, Gabriel S. and Salyer, Kevin D. (2014) Risk shocks and housing supply: A quantitative analysis. JOURNAL OF ECONOMIC DYNAMICS & CONTROL, 45. pp. 194-219. ISSN 0165-1889, 1879-1743
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This paper analyzes the role of stochastic uncertainty in a multi-sector housing model with financial frictions. We include time varying uncertainty (i.e. risk shocks) in the technology shocks that affect housing production and provide estimates of the time-series properties of risk shocks by using firm level productivity data. The analysis demonstrates that risk shocks to the housing production sector are a quantitatively important impulse mechanism for understanding housing price movements. Specifically, the model can match the volatility of housing prices observed in the data. It is also demonstrated that adjustment costs are important in replicating the contemporaneous correlation of housing prices with GDP and residential investment. Critically, bankruptcy costs act as an endogenous markup factor in housing prices and are an important determinant of house price volatility. However, in comparison to housing demand shocks, risk shocks have low explanatory power for real quantities. (C) 2014 Elsevier B.V. All rights reserved.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | MONETARY-POLICY; BUSINESS-CYCLE; CREDIT CHANNEL; AGENCY COSTS; UNCERTAINTY; INVESTMENT; Agency costs; Credit channel; Time-varying uncertainty; Residential investment; Housing production; Calibration |
| Subjects: | 600 Technology > 650 Management & auxiliary services |
| Divisions: | Business, Economics and Information Systems > Institut für Volkswirtschaftslehre und Ökonometrie > Lehrstuhl für Immobilienökonomie (Prof. Dr. Gabriel Lee) Business, Economics and Information Systems > Institut für Immobilienenwirtschaft / IRE|BS > Lehrstuhl für Immobilienökonomie (Prof. Dr. Gabriel Lee) |
| Depositing User: | Dr. Gernot Deinzer |
| Date Deposited: | 04 Sep 2019 10:42 |
| Last Modified: | 04 Sep 2019 10:42 |
| URI: | https://pred.uni-regensburg.de/id/eprint/9789 |
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