Housing Market Spillovers: Evidence from an Estimated DSGE Model
National Bank of Belgium Working Paper No. 145
58 Pages Posted: 1 Oct 2010
Date Written: October 16, 2008
We study sources and consequences of fluctuations in the housing market. The upward trend in real housing prices of the last 40 years can be explained by slow technological progress in the housing sector. Over the business cycle, housing demand and housing technology shocks explain one-quarter each of the volatility of housing investment and housing prices. Monetary factors explain 20 percent, but they played a bigger role in the housing cycle at the turn of the century. We show that the housing market spillovers are non-negligible, concentrated on consumption rather than business investment, and have become more important over time.
Keywords: Housing, Wealth E¤ects, Bayesian Estimation, Two-sector Models
JEL Classification: E32, E44, E47, R21, R31
Suggested Citation: Suggested Citation