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
Final			12/06/2019 06:03:PM
Imperfect-Foresight			12/06/2019 05:56:PM
Initial			12/06/2019 06:03:PM
Panel			12/06/2019 06:03:PM
Transition			12/06/2019 06:03:PM
config_equil.txt	text/plain	203 bytes	12/06/2019 12:56:PM
config_model.txt	text/plain	1.4 KB	12/06/2019 12:56:PM
mod_globvar.f90	text/x-fortran	11.2 KB	12/06/2019 12:56:PM
mod_transition.f90	text/x-fortran	170.4 KB	12/06/2019 12:56:PM
params_integers_in.txt	text/plain	506 bytes	12/06/2019 12:56: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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