The Macroeconomics and Financial Market Affectsof Housing Wealth and Housing Finance

这项建议中描述的工作旨在建立我们对住房财富和住房金融如何影响宏观经济和资产市场的理解。智慧的优点：这项建议考虑了金融经济学中几个对理论和实证研究都很重要的具体问题。国家房价相对于住房基本面的上涨在多大程度上可以归因于住房金融自由化，例如抵押品限制的减少或借款和进行交易的成本的降低？房价走势如何影响对未来住房基本面和未来房价升值的预期？住房财富和住房金融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、跨部门风险分担的衡量标准、生命周期财富储蓄模式以及住房财富的规模对消费者支出的影响？现有文献要么使用局部均衡模型，要么使用从某些利益特征(如特殊风险、产出和生产或多个风险资产市场)中抽象出来的一般均衡模型，孤立地讨论这些问题的一部分。这项研究的目标是使用一个足够普遍的模型来解决这些问题，该模型足以解释金融和住房财富、实际数量、回报率和风险溢价、投资组合选择以及消费和财富不平等的内生性。PI的研究是住房和非住房生产的两部门一般均衡模型，在该模型中，由于为特殊风险和总体风险提供保险的金融市场不完善，不同类型的家庭面临有限的风险分担机会。模型中的房子是一种住宅耐用资产，为家庭提供公用事业，缺乏流动性(交易成本很高)，可以用作债务的抵押品。模型经济由大量重叠的几代家庭组成，他们同时从住房和非住房消费中获得公用事业，并面临随机的生命周期收入概况。广泛影响：拟议的研究结果将与政策制定者、市场经济学家以及学者相关。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，对于及时明智地实施货币政策，以及有效使用行业从业者所需的宏观经济分析，是至关重要的。此外，该提案中描述的研究强调金融市场和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的可能影响，以及更严格地监管抵押品要求。对这一研究议程的实证调查不仅有可能扩大对房地产和宏观经济之间理论关系的了解，而且还有助于我们理解未来经济活动的进程，它对金融市场的影响，以及相对于房地产基本面的房价。在2007年开始的全球金融危机之后，更好地了解这些机制将对继续执行健全的经济政策和金融做法至关重要。

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.