Boom-Bust Cycles in Housing and Credit Markets: The Role of Financial Innovation und Government Policy

在这个研究项目中，我们研究了房地产和信贷市场的盛衰周期，这些周期是由经济基本面驱动的，并被金融市场的不完善所放大。特别是，我们要问政府政策（税收政策）和金融创新在多大程度上促成了两个金融市场不完善的经济体的繁荣-萧条周期的发生：有限的合同执行和不完全的市场。为此，我们首先建立了一个包含异质性家庭和这两种金融摩擦的微观宏观经济模型。我们使用一个根据美国数据校准的模型经济版本来模拟政府政策变化和金融创新对房价、家庭债务、违约率和其他宏观经济变量的周期性变化的定量影响。我们还考虑了根据德国数据和德国机构校准的模型的第二个版本，并在美国和德国之间进行了比较分析。最后，我们讨论了政府政策和金融创新变化的分配后果及其对长期经济增长的影响，并特别强调了人力资本渠道。

In this research project, we study boom-bust cycles in housing and credit markets that are driven by economic fundamentals andamplified by financial market imperfections. In particular, we ask to what extent government policy (tax policy) and financial innovation contribute to the occurrence of boom-bust cycles in economies with two financial market imperfections: limited contract enforcement and incomplete markets. To this end, we first develop a micro-founded macroeconomic model with heterogeneous households and these two financial frictions. We use a version of the model economy calibrated to the US data to simulate the quantitative impact of changes in government policy and financial innovation on the cyclical variations in house prices, household debt, default rates, and other macroeconomic variables. We also consider a second version of the model calibrated to German data and German institutions and conduct a comparative analysis between the US and Germany. Finally, we discuss the distributional consequences of changes ingovernment policy and financial innovation and their effect on longrun economic growth, with a special emphasis on the human capitalchannel.