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 Axtell


George Mason University; Santa Fe Institute

J. Doyne Farmer


Santa Fe Institute; LUISS Guido Carli University

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

working papers series





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Date posted: March 11, 2012  

Suggested Citation

Geanakoplos, John and Axtell, Robert 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 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 Axtell
George Mason University ( email )
4400 University Drive
Fairfax, VA 22030
United States
Santa Fe Institute ( email )
1399 Hyde Park Road
Santa Fe, NM 87501
United States
J. Doyne Farmer
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/
LUISS Guido Carli University
viale Pola 12
Roma, Roma 00198
Italy
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


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