Getting at Systemic Risk via an Agent-Based Model of the Housing Market

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Abstract:

Systemic risk must include the housing market, though economists have not generally focused on it. We begin construction of an agent-based model of the housing market with individual data from Washington, DC. Twenty years of success with agent-based models of mortgage prepayments give us hope that such a model could be useful. Preliminary analysis suggests that the housing boom and bust of 1997-2007 was due in large part to changes in leverage rather than interest rates.

Document Type: Research Article

DOI: http://dx.doi.org/10.1257/aer.102.3.53

Publication date: May 1, 2012

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