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Friday, August 7, 2020 | History

4 edition of Housing collateral and consumption insurance across U.S. regions found in the catalog.

Housing collateral and consumption insurance across U.S. regions

Hanno Lustig

Housing collateral and consumption insurance across U.S. regions

by Hanno Lustig

  • 366 Want to read
  • 21 Currently reading

Published by National Bureau of Economic Research in Cambridge, MA .
Written in English

    Places:
  • United States.
    • Subjects:
    • Housing -- United States.,
    • Risk -- United States.

    • Edition Notes

      StatementHanno Lustig, Stijn Van Nieuwerburgh.
      SeriesNBER working paper series ;, working paper 10505, Working paper series (National Bureau of Economic Research : Online) ;, working paper no. 10505.
      ContributionsNational Bureau of Economic Research.
      Classifications
      LC ClassificationsHB1
      The Physical Object
      FormatElectronic resource
      ID Numbers
      Open LibraryOL3475734M
      LC Control Number2005615132

        Our paper is also related to the work of Lustig and van Nieuwerburgh (), who find that in times when U.S. housing collateral is scarce nationally, regional consumption is about twice as sensitive to income shocks. However, the channel they emphasize – time variation in risk-sharing among regions – is different from ours. U.S. mortgages are also long-term amortizing loans with collateral constraints that only bind at the time of origination: when house prices rise and households gain equity, households have the option to extract this equity and borrow more. In contrast, when house prices fall, lenders cannot force households to put up additional collateral.

      Housing market risk is geographically heterogeneous in that house price growth rate and its correlations with stock return and local labor growth rate vary across regions. In the presence of. Data used in ‘Housing Collateral, Consumption Insurance and Risk Sharing’ All data discussed below are available in the MS Excel spreadsheet aggregate 1 Aggregate Financial Data Market return Rvw It is computed in two ways. First, for , the market return is the cum-dividend return on the Standard and Poor’s.

      1. Introduction. Business activities in the housing market, such as building permits and housing starts, have long been recognized as leading indicators of aggregate economy (Green, ; Coulson and Kim, ) and are regularly mentioned in news media in comments on macroeconomic (, ) offers a much more provocative proposition that “Housing Is the Business Cycle.   Gary Burtlesshas examines the distribution of health consumption and financing in a single recent year. It compares the implications of two sets .


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Housing collateral and consumption insurance across U.S. regions by Hanno Lustig Download PDF EPUB FB2

This increases the cross-sectional consumption growth dispersion across regions and it reduces the amount of regional income risk shared. We investigate risk-sharing patterns for the 30 largest US metropolitan areas and find empirical support for the housing collateral channel.

{Housing collateral and consumption insurance across US regions. Housing Collateral and Consumption Insurance Across US Regions: Data Appendix Article (PDF Available) February with 58 Reads How we measure 'reads'. In a model with housing collateral, the ratio of housing wealth to human wealth shifts the conditional distribution of consumption growth.

In the model, a decrease in house prices reduces the collateral value of housing, increases household exposure to idiosyncratic risk, reduces the amount of income risk shared and increases the conditional market price of risk.

CiteSeerX - Document Details (Isaac Councill, Lee Giles, Pradeep Teregowda): In a model with housing collateral, the ratio of housing wealth to human wealth shifts the conditional distribution of asset prices and consumption growth.

A decrease in house prices reduces the collateral value of housing, increases household exposure to idiosyncratic risk, and increases the conditional market price.

BibTeX @MISC{Lustig03housingcollateral, author = {Hanno Lustig and Stijn Van Nieuwerburgh}, title = {Housing Collateral and Consumption Insurance Across US Regions: Data Appendix}, year =.

Housing Collateral and Consumption Insurance Across US Regions Hanno Lustig University of Chicago and NBER Stijn Van Nieuwerburgh⁄ New York University Stern School of Business Abstract Time-variation in the degree of risk-sharing induced by changes in the value of housing col-lateral sheds new light on the consumption correlation.

Downloadable. In a model with housing collateral, the ratio of housing wealth to human wealth shifts the conditional distribution of asset prices and consumption growth. A decrease in house prices reduces the collateral value of housing and increases household exposure to idiosyncratic risk.

The conditional market price of risk increases. Using aggregate data for the US, we find that a. Housing Collateral, Consumption Insurance and Risk Premia: an Empirical Perspective. Hanno Lustig and Stijn Van Nieuwerburgh⁄ University of Chicago/NBER and NYU Stern February 9.

Housing Collateral, Consumption Insurance, and Risk Premia Whitelaw (), Lamont (), Campbell () and Lettau and Ludvigson (a) for an overview). Our model delivers time variation in the market price endogenously through the housing market. Stijn Van Nieuwerburgh & Hanno Lustig, "Housing Collateral and Consumption Insurance Across US Regions," Meeting PapersSociety for Economic Dynamics.

Cochrane, John H, "A Cross-Sectional Test of an Investment-Based Asset Pricing Model," Journal of Political Economy, University of Chicago Press, vol. (3), pages In times with a high housing collateral ratio, consumption growth is more strongly correlated across regions. Time-variation in the degree of risk-sharing induced by house price changes sheds new light on the consumption correlation inal extant Smith economagic gmm.

Get this from a library. Housing collateral and consumption insurance across US regions. [Hanno Lustig; Stijn van Nieuwerburgh; National Bureau of Economic Research.]. Stijn Van Nieuwerburgh & Hanno Lustig, "Housing Collateral and Consumption Insurance Across US Regions," Meeting PapersSociety for Economic Dynamics.

David K. Backus & Stanley E. Zin, "Reverse Engineering the Yield Curve," NBER Working PapersNational Bureau of Economic Research, Inc.

Get this from a library. Housing collateral and consumption insurance across US regions. [Hanno Lustig; Stijn van Nieuwerburgh; National Bureau of Economic Research.] -- "Time-variation in the degree of risk-sharing induced by changes in the value of housing collateral sheds new light on the consumption correlation puzzle.

If debts can only be enforced to the extent. interest: consumption, house prices, and housing investment. Consumption is broken down into durables and nondurables consumption. The sample period, after adjusting for lags, is toand six lags were used.

6 To identify the monetary policy shock, we order the policy rate last in a recursive identification structure. Downloadable (with restrictions). We construct a new data set of consumption and income data for the largest U.S. metropolitan areas, and we show that the extent of risk-sharing between regions varies substantially over time.

In times when US housing collateral is scarce nationally, regional consumption is about twice as sensitive to income shocks. Hadiye Aslan, Praveen Kumar, Import Competition and the Decline in U.S. Entrepreneurship, SSRN Electronic Journal, /ssrn, ().

Crossref Christos Andreas Makridis, Michael Ohlrogge, Foreclosures and the Labor Market: Evidence from Millions of Households across the United States,SSRN Electronic Journal, /ssrn. Housing Collateral, Consumption Insurance, and Risk Premia: An Empirical Perspective Journal of Finance,60, (3), View citations () See also Working Paper () Books Guaranteed to Fail: Fannie Mae, Freddie Mac, and the Debacle of Mortgage Finance Economics Books, Princeton University Press View citations (43) Chapters.

In a model with housing collateral, the ratio of housing wealth to human wealth shifts the conditional distribution of asset prices and consumption growth. A decrease in house prices reduces the collateral value of housing, increases household exposure to idiosyncratic risk, and increases the conditional market price of risk.

Using aggregate data for the US, we find that a. Scarcity of housing collateral is associated with lower credit volumes and hence decreases consumption risk sharing among seven euro area countries in the time period from Q1 to Q4. Housing Collateral and Consumption Insurance Across US Regions Meeting Papers, Society for Economic Dynamics View citations (11) Housing Collateral, Consumption Insurance and Risk Premia: an Empirical Perspective (joint with Stijn Van Nieuwerburgh), forthcoming Journal of Finance.housing collateral channel.

In times with a high housing collateral ratio, consumption growth is more strongly correlated across regions. Time-variation in the degree of risk-sharing induced by house price changes sheds new light on the consumption correlation puzzle.In a model with housing collateral, the ratio of housing wealth to human wealth shifts the conditional distribution of asset prices and consumption growth.

A decrease in house prices reduces the collateral value of housing, increases household exposure to idiosyncratic risk, and increases the conditional market price of risk.