Document Type
Discussion Paper
Publication Date
3-1-2012
CFDP Number
1852
CFDP Pages
13
Abstract
Systemic risk must include the housing market, though economists have not generally focused on it. We begin construction of an agent-based model of the housing market with individual data from Washington, DC. Twenty years of success with agent-based models of mortgage prepayments give us hope that such a model could be useful. Preliminary analysis suggests that the housing boom and bust of 1997-2007 was due in large part to changes in leverage rather than interest rates.
Recommended Citation
Geanakoplos, John; Axtell, Robert; Farmer, J. Doyne; Howitt, Peter; Conlee, Benjamin; Goldstein, Jonathan; and Hendrey, Matthew, "Getting at Systemic Risk via an Agent-Based Model of the Housing Market" (2012). Cowles Foundation Discussion Papers. 2211.
https://elischolar.library.yale.edu/cowles-discussion-paper-series/2211