Risky mortgages in a DSGE model
This paper develops a DSGE model with housing, risky mortgages, and endogenous default. Housing investment is subject to idiosyncratic risk, and some mortgages are defaulted in equilibrium. An unanticipated increase in the standard deviation of housing investment risk produces a credit crunch where...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
2011-03.
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| Subjects: | |
| Online Access: | Get fulltext |