The Macroeconomics and Financial Market Affectsof Housing Wealth and Housing Finance

本提案中描述的工作旨在建立我们对住房财富和住房融资影响宏观经济和资产市场的方式的理解。知识价值：本提案考虑了几个对金融经济学理论和实证研究都很重要的具体问题。相对于住房基本面而言，全国房价的上涨在多大程度上可以归因于住房融资的自由化，比如抵押品限制的下降或借贷和交易成本的降低？房价变动如何影响对未来住房基本面和未来房价升值的预期？住房财富和住房融资的变化在多大程度上影响产出和投资、住房和股票市场的风险溢价、横截面风险分担指标、生命周期财富-储蓄模式，以及住房财富规模对消费者支出的影响？现有文献使用部分均衡模型或一般均衡模型孤立地解决了这些问题的一部分，这些模型抽象了一些感兴趣的特征，如特殊风险，产出和生产，或多重风险资产市场。本研究的目标是使用一个足够普遍的模型来解决这些问题，以解释金融和住房财富、实际数量、回报率和风险溢价、投资组合选择、消费和财富不平等的内生性。方法是理论性的。PI研究了住房和非住房生产的两部门一般均衡模型，其中异质性家庭面临有限的风险分担机会，这是由于为特殊风险和总体风险提供保险的金融市场不完善的结果。模型中的房子是一种住宅耐用资产，为家庭提供实用性，是非流动性的（交易成本很高），可以用作债务抵押。模型经济由大量世代重叠的家庭组成，这些家庭从住房和非住房消费中获得效用，并且面临随机的生命周期收入状况。更广泛的影响：拟议研究的结果将与政策制定者和市场经济学家以及学术界相关。理解能够揭示财富、消费、资产市场和异质性之间内生关系的理论框架，对于货币政策的知情和及时实施，以及对行业从业者所需的宏观经济分析的有效利用，都是至关重要的。此外，本提案中描述的研究强调金融市场与实体经济之间的相互作用，也可以为研究具体政策举措的后果奠定基础，例如补贴住房交易成本和利息支付以及更严格地监管抵押品要求的可能影响。本研究议程的实证调查不仅有可能扩大关于住房与宏观经济之间理论关系的知识状态，而且还有助于我们理解经济活动的未来进程，其对金融市场和房价相对于住房基本面的影响。在2007年开始的全球金融危机之后，更好地理解这些机制对于继续实施健全的经济政策和金融实践至关重要。

The work described in this proposal aims to build our understanding of the ways in which housing wealth and housing finance affect the macroeconomy and asset markets.Intellectual Merit: This proposal considers several specific questions of importance to both theoretical and empirical inquiry in financial economics. To what extent can episodes of national house price appreciation relative to housing fundamentals be attributed to a liberalization in housing finance, such as declines in collateral constraints or reductions in the costs of borrowing and conducting transactions? How do movements in house prices affect expectations about future housing fundamentals and future home price appreciation? To what extent do changes in housing wealth and housing finance affect output and investment, risk premia in housing and equity markets, measures of cross-sectional risk-sharing, life-cycle wealth-savings patterns, and the size of housing wealth e¤ects on consumer spending? The existing literature has addressed parts of these questions in isolation using either partial equilibrium models, or using general equilibrium models that abstract from some features of interest, such as idiosyncratic risk, output and production, or multiple risky asset markets. The goal of this research is to address these questions using a model that is sufficiently general as to account for the endogeneity of financial and housing wealth, real quantities, rates of return and risk premia, portfolio choice, and consumption and wealth inequality.The methodology is theoretical. The PI's study a two-sector general equilibrium model of housing and non-housing production where heterogenous households face limited risk-sharing opportunities as a result of incomplete financial markets for insuring both idiosyncratic and aggregate risks. A house in the model is a residential durable asset that provides utility to the household, is illiquid (expensive to trade), and can be used as collateral in debt obligations. The model economy is populated by a large number of overlapping generations of households who receive utility from both housing and nonhousing consumption and who face a stochastic life-cycle earnings profile.Broader Impact: The results of the proposed research will be of relevance to policymakers and market economists, as well as academics. Understanding the theoretical frameworks that can shed light on the endogenous relationships among wealth, consumption, asset markets and heterogeneity is fundamental for the informed and timely conduct of monetary policy, and for the effective use of macroeconomic analysis required of industry practitioners. In addition, the research described in this proposal, with its emphasis on the interplay between financial markets and the real economy, can also form a bedrock for studying the ramifications of specific policy initiatives, such as the likely effects of subsidizing housing transactions costs and interest payments and of more tightly regulating collateral requirements. The empirical investigations of this research agenda have the potential not only to expand the state of knowledge about the theoretical relationships between housing and the macroeconomy, but also to facilitate our understanding of the future course of economic activity, its implications for financial markets and house prices relative to housing fundamentals. In the wake of the global financial crisis that began in 2007, a better understanding of these mechanisms will be crucial to the continued implementation of sound economic policy and financial practice.