Getting at Systemic Risk via an Agent-Based Model of the Housing Market
Authors: Geanakoplos, John; Axtell, Robert; Farmer, Doyne J.; Howitt, Peter; Conlee, Benjamin; Goldstein, Jonathan; Hendrey, Matthew; Palmer, Nathan M.; Yang, Chun-Yi
Source: The American Economic Review, Volume 102, Number 3, May 2012 , pp. 53-58(6)
Publisher: American Economic Association
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
Publication date: May 1, 2012
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