Consumption, house prices, and collateral constraints: A structural econometric analysis

Journal of Housing Economics

Volumn 13, Issue 4 SPEC.ISS., 2004, Pages 304-320

  Iacoviello, Matteo ^a  

^a BOSTON COLLEGE   (United States)

Author keywords

Collateral constraints; Consumption; Credit; House prices

Indexed keywords

EID: 8644240999     PISSN: 10511377     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jhe.2004.09.004     Document Type: Article

References (32)

1. Aoki K. Proudman J. Vlieghe J. 2001. Houses as Collateral: Has the Link between House Prices and Consumption Changed? mimeo, Bank of England
2. O. Attanasio H. Low Estimating Euler Equations Rev. Econ. Dyn. 7 2004 406-435
3. P. Bacchetta S. Gerlach Consumption and credit constraints: international evidence J. Monet. Econ. 40 1997 207-238
4. O. Bandiera G. Caprio Jr. P. Honohan F. Schiantarelli Does financial reform raise or reduce savings? Rev. Econ. Stat. 82 2 2000 239-263
5. B.S. Bernanke M. Gertler Inside the black box: The credit channel of monetary policy transmission J. Econ. Perspect. 9 4 1995 27-48
6. J.M. Black D. de Meza D. Jeffreys House prices, the supply of collateral and the enterprise economy Econ. J. 106 434 1996 60-75
7. J.Y. Campbell N.G. Mankiw Consumption, income, and interest rates: reinterpreting the time-series evidence NBER Macroeconom. Annu. 1989
8. J.Y. Campbell N.G. Mankiw The response of consumption to income. a cross country investigation Eur. Econ. Rev. 35 1991 723-767
9. G. Caporale G. Williams Monetary policy and financial liberalization: the case of United Kingdom consumption J. Macroecon. 23 1 2001 177-197
10. Carroll C.D. 2001. A theory of the consumption function, with and without liquidity constraints, NBER Working Paper 8387
11. Carroll C.D. 2004. Housing Wealth and Consumption Expenditure, mimeo
12. Case K.E. Quigley J.M. Shiller R.J. 2003. Comparing wealth effects: The stock market versus the housing market, Cowles Foundation Discussion Paper No. 1335
13. E.Y. Chah V.A. Ramey R.M. Starr Liquidity constraints and intertemporal consumer optimisation: Theory and evidence from durable goods J. Money Credit Banking 27 1 1995 272-287
14. M. Cho House price dynamics: A survey of theoretical and empirical issues J. Housing Res. 7 2 1996 145-171
15. Davis M. Heathcote J. 2003. Housing and the Business Cycle, mimeo
16. Davis M. Palumbo M. 2001. A Primer on the economics and time series econometrics of wealth effects, FEDS Working Paper
17. J. Fuhrer G.D. Rudebusch Estimating the Euler equation for output, J Monet. Econ. 51 6 2004 1133-1152
18. S. Gilchrist Unemployment expectations, jumping (S,s) triggers, and household balance sheets: A comment NBER Macroeconom. Annu. 1997
19. R. Hall Stochastic implications of the life cycle-permanent income hypothesis: Theory and evidence J. Polit. Econ. 86 6 1978 971-987
20. L.P. Hansen Large sample properties of generalized method of moment estimators Econometrica 50 1982 1029-1054
21. Iacoviello M. 2002. House prices, borrowing constraints and monetary policy in the business cycle, Boston College Working Paper n. 542
22. T. Jappelli M. Pagano Aggregate consumption and capital market imperfections: An international comparison Am. Econ. Rev. 79 5 1989 1088-1105
23. N. Kiyotaki J. Moore Credit cycles J. Polit. Econ. 105 2 1997 211-248
24. J. McCarthy R.W. Peach Monetary policy transmission to residential investment Econ. Polit. Rev. 2002 139-161
25. D. Miles Housing markets, consumption and financial liberalisation in the major economies Eur. Econ. Rev. 36 5 1992 1093-1127
26. D. Miles Housing, Financial Markets and the Wider Economy 1995 John Wiley and Sons New York
27. Muellbauer J. 1983. Surprises in the consumption function. Econ. J., 93, Conference Papers, 34-50
28. E.O. Olsen The demand and supply of housing service: A critical survey of the empirical literature In: E.S. Mills (Ed.) Handbook of Regional and Urban Economics vol. II 1987 Elsevier Science Publications New York 989-1022
29. J. Parker Comment on: Real estate and the macroeconomy Brookings Pap. Econ. Act. 2 2000 150-158
30. H. Pesaran R.P. Smith The role of theory in econometrics J. Econ. 67 1995 61-79
31. Piazzesi M. Schneider M. Tuzel S. 2003. Housing, Consumption, and Asset Pricing, mimeo
32. S.P. Zeldes Consumption and liquidity constraints: An empirical investigation J. Polit. Econ. 97 2 1989 305-346