000225594 001__ 225594
000225594 005__ 20190728133802.0
000225594 022__ $$a0165-1889
000225594 0247_ $$2doi$$a10.1016/j.jedc.2017.01.007
000225594 02470 $$2ISI$$a000395850500008
000225594 037__ $$aARTICLE
000225594 245__ $$aMortgage Default in an Estimated Model of the U.S. Housing Market
000225594 260__ $$bElsevier$$c2017$$aAmsterdam
000225594 269__ $$a2017
000225594 300__ $$a31
000225594 336__ $$aJournal Articles
000225594 520__ $$aThis paper models the housing sector, mortgages and endogenous default in a DSGE setting with nominal and real rigidities. We use data for the period 1981-2006 to estimate our model using Bayesian techniques. We analyze how an increase in risk in the mortgage market raises the default rate and spreads to the rest of the economy, creating a recession. In our model two shocks are well suited to replicate the subprime crisis and the Great Recession: the mortgage risk shock and the housing demand shock. Next we use our estimated model to evaluate a policy that reduces the principal of underwater mortgages. This policy is successful in stabilizing the mortgage market and makes all agents better off. (C) 2017 Elsevier B.V. All rights reserved.
000225594 6531_ $$aHousing
000225594 6531_ $$aMortgage default
000225594 6531_ $$aDSGE model
000225594 6531_ $$aBayesian estimation
000225594 700__ $$0244675$$g174686$$aLambertini, Luisa
000225594 700__ $$aUysal, Pinar
000225594 700__ $$0244804$$g193673$$aNuguer, Victoria
000225594 773__ $$j76$$tJournal of Economic Dynamics and Control$$q171-201
000225594 8564_ $$uhttps://infoscience.epfl.ch/record/225594/files/LNU_05012016.pdf$$zn/a$$s677522$$yn/a
000225594 909C0 $$xU11431$$0252269$$pSFI-LL
000225594 909CO $$qGLOBAL_SET$$pCDM$$particle$$ooai:infoscience.tind.io:225594
000225594 917Z8 $$x240885
000225594 937__ $$aEPFL-ARTICLE-225594
000225594 973__ $$rREVIEWED$$sPUBLISHED$$aEPFL
000225594 980__ $$aARTICLE