Abstract

http://ssrn.com/abstract=2018375
 


 



Getting at Systemic Risk Via an Agent-Based Model of the Housing Market


John Geanakoplos


Yale University - Cowles Foundation

Robert L. Axtell


George Mason University - Department of Computational Social Science; George Mason University - Department of Economics; Santa Fe Institute - Economics

J. Doyne Farmer


Institute for New Economic Thinking; Santa Fe Institute

Peter Howitt


Brown University - Department of Economics; National Bureau of Economic Research (NBER)

Benjamin Conlee


affiliation not provided to SSRN

Jonathan Goldstein


affiliation not provided to SSRN

Matthew Hendrey


George Mason University - Department of Computational Social Science

Nathan M. Palmer


George Mason University - Department of Computational Social Science

Chun-Yi Yang


affiliation not provided to SSRN

March 8, 2012

Cowles Foundation Discussion Paper No. 1852

Abstract:     
Systemic risk must include the housing market, though economists have not generally focused on it. We begin construction of an agent-based model of the housing market with individual data from Washington, DC. Twenty years of success with agent-based models of mortgage prepayments give us hope that such a model could be useful. Preliminary analysis suggests that the housing boom and bust of 1997-2007 was due in large part to changes in leverage rather than interest rates.

Number of Pages in PDF File: 14

Keywords: Agent based models, Housing prices, Boom and bust, Leverage, Interest rates, Foreclosures, Systemic risk

JEL Classification: E3, E31 E32, E37, E44, E63, R2, R20, R21, R23, R28, R3, R30, R31, R38


Open PDF in Browser Download This Paper

Date posted: March 11, 2012  

Suggested Citation

Geanakoplos, John and Axtell, Robert L. and Farmer, J. Doyne and Howitt, Peter and Conlee, Benjamin and Goldstein, Jonathan and Hendrey, Matthew and Palmer, Nathan M. and Yang, Chun-Yi, Getting at Systemic Risk Via an Agent-Based Model of the Housing Market (March 8, 2012). Cowles Foundation Discussion Paper No. 1852. Available at SSRN: http://ssrn.com/abstract=2018375 or http://dx.doi.org/10.2139/ssrn.2018375

Contact Information

John D Geanakoplos (Contact Author)
Yale University - Cowles Foundation ( email )
Box 208281
New Haven, CT 06520-8281
United States
203-432-3397 (Phone)
203-432-6167 (Fax)
HOME PAGE: http://cowles.econ.yale.edu/P/au/d_gean.htm

Robert L. Axtell
George Mason University - Department of Computational Social Science ( email )
4400 University Drive
375 Research Hall
Fairfax, VA 22030
United States
George Mason University - Department of Economics ( email )
4400 University Drive
Fairfax, VA 22030
United States
Santa Fe Institute - Economics ( email )
1399 Hyde Park Rd
Santa Fe, NM 87501
United States
J. Doyne Farmer
Institute for New Economic Thinking ( email )
Eagle House
Walton Well Road
Oxford, OX2 6ED
United Kingdom
HOME PAGE: http://www.inet.ox.ac.uk/people/view/4
Santa Fe Institute ( email )
1399 Hyde Park Road
Santa Fe, NM 87501
United States
505-984-8800 (Phone)
505-982-0565 (Fax)
HOME PAGE: http://www.santafe.edu/~jdf/
Peter Howitt
Brown University - Department of Economics ( email )
Box B
Providence, RI 02912
United States
401-863-2145 (Phone)
401-863-1970 (Fax)
National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
Benjamin Conlee
affiliation not provided to SSRN ( email )
Jonathan Goldstein
affiliation not provided to SSRN ( email )
Matthew Hendrey
George Mason University - Department of Computational Social Science ( email )
4400 University Drive
Research I, CSC Suite, Level 3
Fairfax, VA 22030
United States
Nathan M. Palmer
George Mason University - Department of Computational Social Science ( email )
4400 University Drive
Research I, CSC Suite, Level 3
Fairfax, VA 22030
United States
Chun-Yi Yang
affiliation not provided to SSRN ( email )
Feedback to SSRN


Paper statistics
Abstract Views: 4,100
Downloads: 814
Download Rank: 20,850

© 2016 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollobot1 in 0.312 seconds