首页    期刊浏览 2025年06月15日 星期日
登录注册

文章基本信息

  • 标题:Risky Mortgages in a DSGE Model
  • 本地全文:下载
  • 作者:Chiara Forlati ; Luisa Lambertini
  • 期刊名称:International Journal of Central Banking
  • 印刷版ISSN:1815-4654
  • 出版年度:2011
  • 卷号:2011
  • 期号:01
  • 出版社:IJCB Publications Fulfillment
  • 摘要:

    This paper develops a DSGE model with housing, risky mortgages, and endogenous default. Housing investment is subject to idiosyncratic risk, and some mortgages are defaulted in equilibrium. An unanticipated increase in the standard deviation of housing investment risk produces a credit crunch where delinquencies and mortgage interest rates increase, lending is curtailed, and aggregate demand for non-durable goods falls. The economy experiences a recession as a consequence of the credit crunch. The paper compares economies that differ only in the riskiness of housing investment. Economies with lower risk are characterized by lower steady-state mortgage default rates and higher loan-to-value and leverage ratios. The macroeconomic effects of an unanticipated increase in housing investment risk are amplified in high-leverage economies. Monetary policy plays an important role in the transmission of housing investment risk, as inertial interest rate rules generate deeper output contractions.

国家哲学社会科学文献中心版权所有