Housing Market Spillovers: Evidence from an Estimated DSGE Model

National Bank of Belgium Working Paper No. 145

58 Pages Posted: 1 Oct 2010

See all articles by Matteo M. Iacoviello

Matteo M. Iacoviello

Federal Reserve Board - Trade and Financial Studies

Stefano Neri

Bank of Italy

Multiple version iconThere are 2 versions of this paper

Date Written: October 16, 2008

Abstract

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

Iacoviello, Matteo M. and Neri, Stefano, Housing Market Spillovers: Evidence from an Estimated DSGE Model (October 16, 2008). National Bank of Belgium Working Paper No. 145. Available at SSRN: https://ssrn.com/abstract=1685152 or http://dx.doi.org/10.2139/ssrn.1685152

Matteo M. Iacoviello (Contact Author)

Federal Reserve Board - Trade and Financial Studies ( email )

20th St. and Constitution Ave.
Washington, DC 20551
United States

Stefano Neri

Bank of Italy ( email )

Via Nazionale 91
00184 Roma
Italy
+39 06 4792 2821 (Phone)

Register to save articles to
your library

Register

Paper statistics

Downloads
414
rank
23,476
Abstract Views
1,742
PlumX Metrics