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

Version:  View help for Version V1

Name File Type Size Last Modified
benchmark_moments.mat application/octet-stream 250 bytes 12/06/2019 10:31:AM
calibset_fro.m text/plain 2.8 KB 12/06/2019 10:31:AM
data1.mat application/octet-stream 1.1 KB 12/06/2019 10:32:AM
data10.mat application/octet-stream 1.3 KB 12/06/2019 10:32:AM
data2.mat application/octet-stream 1.6 KB 12/06/2019 10:31:AM
data3.mat application/octet-stream 1.2 KB 12/06/2019 10:31:AM
data4.mat application/octet-stream 1.5 KB 12/06/2019 10:31:AM
data5.mat application/octet-stream 1.4 KB 12/06/2019 10:32:AM
data6.mat application/octet-stream 1.4 KB 12/06/2019 10:31:AM
data7.mat application/octet-stream 1.5 KB 12/06/2019 10:31:AM

Project Description

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


Related Publications

Download this project

Published Versions

V1 [2019-12-06]

Export Metadata

Dublin Core

DDI 2.5

Report a Problem

Found a serious problem with the data, such as disclosure risk or copyrighted content? Let us know.

This material is distributed exactly as it arrived from the data depositor. ICPSR has not checked or processed this material. Users should consult the investigator(s) if further information is desired.