Data and Code for: Mortgage Debt, Consumption, and Illiquid Housing Markets in the Great Recession

Principal Investigator(s): View help for Principal Investigator(s) Carlos Garriga, Federal Reserve Bank of St. Louis; Aaron Hedlund, University of Missouri

Version: View help for Version V1

Name	File Type	Size	Last Modified
3D			12/06/2019 05:58:PM
Baseline			12/06/2019 05:58:PM
BaselineAssetSCF99pct			12/06/2019 05:59:PM
BaselineNoSearchLargeTransCost			12/06/2019 05:59:PM
BaselineNoSearch_Proportional			12/06/2019 06:00:PM
BigTFPNoLabor			12/06/2019 06:00:PM
Data			12/06/2019 06:02:PM
HousingPessimismEarly			12/06/2019 06:02:PM
HousingPessimismOnlyEarly			12/06/2019 06:02:PM
HousingPrefShock			12/06/2019 06:03:PM

Project Description

Summary: Using a quantitative heterogeneous agents macro-housing model and detailed micro data, this paper studies the drivers of the 2006--2011 housing bust, its spillovers to consumption and the credit market, and the ability of mortgage rate interventions to accelerate the recovery. The model features tenure choice between owning and renting, rich portfolio choice, long-term defaultable mortgages, and endogenously illiquid housing from search frictions. The equilibrium analysis and empirical evidence suggest that the deterioration in house prices and liquidity---transmitted to consumption via balance sheets that vary in composition and depth---is central to explaining the observed aggregate and cross-sectional patterns.

Scope of Project

Subject Terms: Housing; Consumption; Liquidity; Debt; Great Recession

JEL Classification:
      D31 Personal Income, Wealth, and Their Distributions
      D83 Search; Learning; Information and Knowledge; Communication; Belief; Unawareness
      E21 Macroeconomics: Consumption; Saving; Wealth
      E22 Investment; Capital; Intangible Capital; Capacity
      G11 Portfolio Choice; Investment Decisions
      G12 Asset Pricing; Trading Volume; Bond Interest Rates
      G21 Banks; Depository Institutions; Micro Finance Institutions; Mortgages

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Published Versions

V1 [2020-05-27]

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DDI 2.5

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