Modeling a housing and mortgage crisis

The current crisis has centered on borrower defaults on mortgages and the associated effects on banks’ own credit standing (and in several cases their own default), which in turn led to tightened conditions for lending to new (mortgage) borrowers. Any model that does not incorporate all or most of t...

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Autores principales:	Goodhart, Charles A. E., Tsomocos, Dimitrios P., Vardoulakis, Alexandros P.
Formato:	Artículo
Lenguaje:	eng
Publicado:	Banco Central de Chile 2019
Materias:	PRÉSTAMOS HIPOTECARIOS CRISIS FINANCIERA BANCOS MODELO ESTOCÁSTICOS
Acceso en línea:	https://hdl.handle.net/20.500.12580/3763
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spelling	oai-20.500.12580-37632021-04-24T11:04:05Z Modeling a housing and mortgage crisis Goodhart, Charles A. E. Tsomocos, Dimitrios P. Vardoulakis, Alexandros P. PRÉSTAMOS HIPOTECARIOS CRISIS FINANCIERA BANCOS MODELO ESTOCÁSTICOS The current crisis has centered on borrower defaults on mortgages and the associated effects on banks’ own credit standing (and in several cases their own default), which in turn led to tightened conditions for lending to new (mortgage) borrowers. Any model that does not incorporate all or most of these key elements cannot possibly hope to capture the defining features of the current crisis. This is particularly true of standard dynamic stochastic general equilibrium (DSGE) models, which (mostly) assume away the possibility of default altogether! This paper builds on our previous model of a system in which default plays a central role for both borrowers and banks and in which financial intermediation and money thus have a necessary real function. Specifically, we include both an additional good, housing, in the prior composite basket of goods and services and an additional agent, a new entrant to the housing market. Our previous papers on this include Goodhart, Sunirand, and Tsomocos (2004, 2005, 2006). 2019-11-01T00:04:59Z 2019-11-01T00:04:59Z 2010 Artículo 978-956-7421-34-3 https://hdl.handle.net/20.500.12580/3763 eng Series on Central Banking, Analysis, and Economic Policies, no. 15 Attribution-NonCommercial-NoDerivs 3.0 Chile http://creativecommons.org/licenses/by-nc-nd/3.0/cl/ .pdf Sección o Parte de un Documento p. 215-253 application/pdf Banco Central de Chile
institution	Banco Central
collection	Banco Central
language	eng
topic	PRÉSTAMOS HIPOTECARIOS CRISIS FINANCIERA BANCOS MODELO ESTOCÁSTICOS
spellingShingle	PRÉSTAMOS HIPOTECARIOS CRISIS FINANCIERA BANCOS MODELO ESTOCÁSTICOS Goodhart, Charles A. E. Tsomocos, Dimitrios P. Vardoulakis, Alexandros P. Modeling a housing and mortgage crisis
description	The current crisis has centered on borrower defaults on mortgages and the associated effects on banks’ own credit standing (and in several cases their own default), which in turn led to tightened conditions for lending to new (mortgage) borrowers. Any model that does not incorporate all or most of these key elements cannot possibly hope to capture the defining features of the current crisis. This is particularly true of standard dynamic stochastic general equilibrium (DSGE) models, which (mostly) assume away the possibility of default altogether! This paper builds on our previous model of a system in which default plays a central role for both borrowers and banks and in which financial intermediation and money thus have a necessary real function. Specifically, we include both an additional good, housing, in the prior composite basket of goods and services and an additional agent, a new entrant to the housing market. Our previous papers on this include Goodhart, Sunirand, and Tsomocos (2004, 2005, 2006).
format	Artículo
author	Goodhart, Charles A. E. Tsomocos, Dimitrios P. Vardoulakis, Alexandros P.
author_facet	Goodhart, Charles A. E. Tsomocos, Dimitrios P. Vardoulakis, Alexandros P.
author_sort	Goodhart, Charles A. E.
title	Modeling a housing and mortgage crisis
title_short	Modeling a housing and mortgage crisis
title_full	Modeling a housing and mortgage crisis
title_fullStr	Modeling a housing and mortgage crisis
title_full_unstemmed	Modeling a housing and mortgage crisis
title_sort	modeling a housing and mortgage crisis
publisher	Banco Central de Chile
publishDate	2019
url	https://hdl.handle.net/20.500.12580/3763
work_keys_str_mv	AT goodhartcharlesae modelingahousingandmortgagecrisis AT tsomocosdimitriosp modelingahousingandmortgagecrisis AT vardoulakisalexandrosp modelingahousingandmortgagecrisis
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Modeling a housing and mortgage crisis

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