Joint Dynamics of House Prices and Foreclosures
在一个包含住房和长期抵押贷款的生命周期不完全市场模型中，研究了房价与止赎率的联合过渡动态，分析了利率、首付比例和失业等永久冲击的影响，发现过渡期间止赎动态显著且与房价存在强反馈。
This paper studies the joint transitional dynamics of the foreclosures and house prices in a standard life‐cycle incomplete markets model with housing and a realistic long‐term mortgage structure. We calibrate our model to match several long‐term features of the U.S. housing market, and analyze the effects of several unexpected and permanent shocks on the house price and the foreclosure rate both across the steady states and along the transition between the steady states. We examine permanent, unexpected shocks to the risk‐free interest rate, the minimum down‐payment ratio, and unemployment. During the transition, these shocks create large movements in house prices. More importantly, the foreclosure dynamics are quite significant along the transition compared to the steady‐state changes, and there are strong feedbacks between foreclosures and house prices. We assess the effects of a temporary reduction in the risk‐free interest rate, which has moderate effects on house prices but little effect on foreclosure dynamics. We also study the effects of an ex ante macroprudential policy, which establishes a minimum down‐payment requirement at a higher threshold. Such a macroprudential policy helps substantially stabilize both house prices and foreclosures.