Collateral Constraints and Macroeconomic Asymmetries

By Luca Guerrieri, Matteo Iacoviello. 2013

339 citations recorded by the source corpus.

Using Bayesian methods, we estimate a nonlinear general equilibrium model where occasionally binding collateral constraints on housing wealth drive an asymmetry in the link between housing prices and economic activity. The estimated model shows that, as collateral constraints became slack during the housing boom of 2001-2006, expanding housing wealth made a small contribution to consumption growth. By contrast, the housing collapse that followed tightened the constraints and sharply exacerbated the recession of 2007-2009. The empirical relevance of this asymmetry is corroborated by evidence from state- and MSA-level data.

Subfields: Accounting, Economics and Econometrics

View Paper: https://www.semanticscholar.org/paper/871651db3ac287bcd6003c6d03d1765a043613b9

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Accounting

1. Atif R. Mian
2. Amir Sufi
3. J. Cloyne
4. P. Surico
5. Adam M. Guren
6. Haroon Mumtaz
7. Emi Nakamura
8. Jón Steinsson

In Economics and Econometrics

1. P. Surico
2. Emi Nakamura
3. Atif R. Mian
4. Amir Sufi
5. J. Cloyne
6. Jón Steinsson
7. Haroon Mumtaz
8. Adam M. Guren

Citations in the corpus

• The Pass-Through of Sovereign Risk (2016, methodology): “I use a Smolyak sparse grid (Krueger and Kubler, 2003), which sensibly reduces the curse of dimensionality.10 I evaluate the likelihood function tailoring the auxiliary particle filter of Pitt and Shephard (1999) to the present application.”
• Financial regimes and uncertainty shocks (2019, background): “A number of authors have documented the empirical relevance of this mechanism by showing that credit conditions can significantly alter the transmission of both real and financial shocks (McCallum, 1991; Balke, 2000; Guerrieri and Iacoviello, 2013).”
• Housing Wealth Effects: The Long View (2018, positive): “We also discuss a more realistic general equilibrium model with segmented markets across cities (presented in more detail in Guren et al. (2019)) in which our empirical approach yields an estimate of the partial equilibrium effect of house prices on consumption multiplied by a local general equilibr”
• Monetary Policy when Households have Debt: New Evidence on the Transmission Mechanism (2019, background): “Discount factors are chosen as in Iacoviello (2005). Estimates of the degree of habit persistence vary in the literature from relatively low (for example around 0.”
• House Price Gains and U.S. Household Spending from 2002 to 2006 (2014, background): “…to borrow and spend out of Case, Quigley, and Shiller (2005 and 2013), Haurin and Rosenthal (2006), Campbell and Cocco (2007), Greenspan and Kennedy (2007), Bostic, Gabriel, and Painter (2009), Carroll, Otsuka, and Slacalek (2011), Guerrieri and Iacoviello (2013), and Zhou and Carroll (2012).”