• Detecting Imbalances in House Prices: What Goes up Must Come Down? 

      Anundsen, André K. (Working Papers;11/2016, Working paper, 2016)
      With the aid of econometric modeling, I investigate whether rapidly increasing house prices necessarily imply the existence of a bubble that will eventually burst. I consider four alternative econometric methods to construct ...
    • 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 ...
    • 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 ...