• Explaining the Boom-Bust Cycle in the U.S. Housing Market: A Reverse-Engineering Approach 

      Gelain, Paolo; Lansing, Kevin J.; Natvik, Gisle James (Working Papers;11/2015, Working paper, 2015)
      We use a simple quantitative asset pricing model to "reverse-engineer" the sequences of stochastic shocks to housing demand and lending standards that are needed to exactly replicate the boom-bust patterns in U.S. household ...
    • Financial Factors and the Macroeconomy - a Policy Model 

      Brubakk, Leif; Gelain, Paolo (Staff Memo;10/2014, Working paper, 2014)
      This paper documents the theoretical structure of an extension of the Norges Bank policy model NEMO. New features include an explicit treatment of the credit market, including a separate banking sector, a role for housing ...
    • House Prices, Credit Growth, and Excess Volatility: Implications for Monetary and Macroprudential Policy 

      Gelain, Paolo; Lansing, Kevin J.; Mendicino, Caterina (Working Papers;8/2012, Working paper, 2012)
      Progress on the question of whether policymakers should respond directly to financial variables requires a realistic economic model that captures the links between asset prices, credit expansion, and real economic activity. ...
    • House Prices, Expectations, and Time-Varying Fundamentals 

      Gelain, Paolo; Lansing, Kevin J. (Working Papers;5/2013, Working paper, 2013)
      We investigate the behavior of the equilibrium price-rent ratio for housing in a simple Lucas-type asset pricing model. We allow for time-varying risk aversion (via external habit formation) and time-varying persistence ...
    • Leaning Against the Credit Cycle 

      Gelain, Paolo; Lansing, Kevin J.; Natvik, Gisle James (Working Papers;4/2015, Working paper, 2015)
      We study the interaction between monetary policy and household debt dynamics. To this end, we develop a dynamic stochastic general equilibrium model where household debt is amortized gradually, and only new loans are ...
    • Monetary and Macroprudential Policy with Multi-Period Loans 

      Brzoza-Brzezina, Michał; Gelain, Paolo; Kolasa, Marcin (Working Papers;16/2014, Working paper, 2014)
      We study the implications of multi-period loans for monetary and macroprudential policy, considering several realistic modifications - variable vs. fixed loan rates, non-negativity constraint on newly granted loans, and ...
    • Output Gap, Monetary Policy Trade-Offs and Financial Frictions 

      Furlanetto, Francesco; Gelain, Paolo; Sanjani, Marzie Taheri (Working Papers;8/2017, Working paper, 2017)
      This paper investigates how the presence of financial frictions and financial shocks changes the definition and the estimated dynamics of the output gap in a New Keynesian model. Financial shocks absorb explanatory power ...
    • Structural Factors, Unemployment and Monetary Policy: The Useful Role of the Natural Rate of Interest 

      Furlanetto, Francesco; Gelain, Paolo (Working Papers;17/2016, Working paper, 2016)
      We study the role of monetary policy in response to variations in unemployment due to structural factors, modeled as exogenous changes in matching efficiency and in the size of the labor force. We find that monetary policy ...