Replication data for: House Prices, Borrowing Constraints, and Monetary Policy in the Business Cycle

Principal Investigator(s): View help for Principal Investigator(s) Matteo Iacoviello

Name	File Type	Size	Last Modified
AppendixC_aer			12/06/2019 03:31:PM
Estimation_aer			12/06/2019 03:31:PM
Frontiers_aer			12/06/2019 03:32:PM
Simulation_aer			12/06/2019 03:31:PM
VAR_aer			12/06/2019 03:31:PM
_add_ons			12/06/2019 03:32:PM
Readme.pdf	application/pdf	8.1 KB	12/06/2019 10:31:AM
Readme.txt	text/plain	1.5 KB	12/06/2019 10:31:AM
houseprices_aer_technical_appendix.pdf	application/pdf	244.4 KB	12/06/2019 10:32:AM

Project Description

Summary: I develop and estimate a monetary business cycle model with nominal loans and collateral constraints tied to housing values. Demand shocks move housing and nominal prices in the same direction, and are amplified and propagated over time. The financial accelerator is not uniform: nominal debt dampens supply shocks, stabilizing the economy under interest rate control. Structural estimation supports two key model features: collateral effects dramatically improve the response of aggregate demand to housing price shocks; and nominal debt improves the sluggish response of output to inflation surprises. Finally, policy evaluation considers the role of house prices and debt indexation in affecting monetary policy trade-offs.

Scope of Project

JEL Classification:
E32 Business Fluctuations; Cycles
R21 Urban, Rural, Regional, Real Estate, and Transportation Economics: Housing Demand

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Published Versions

V1 [2019-12-06]

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DDI 2.5

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