【主题】Collateral Quality and House Prices
【摘要】This paper studies the effects of shifts in collateral quality on house prices and the macroeconomy in a dynamic general equilibrium model with credit and housing collateral. Our model features endogenous regime switching between two lending regimes depending on whether or not information on collateral quality is produced. Shocks to collateral quality and the resulting regime switching amplify movements in house prices relative to rents. They can reconcile the joint dynamics of house prices, the price-rent ratio, and output observed in the data. Our estimation shows that the collateral quality shocks account for approximately half of the variations in house prices and the price-rent ratio, as well as one-fifth of the variations in investment during the housing boom and the Great Recession.