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2 results on '"JEL: E - Macroeconomics and Monetary Economics/E.E3 - Prices, Business Fluctuations, and Cycles"'

1. A General and Efficient Method for Solving Regime-Switching DSGE Models

Author

Julien Albertini, Stéphane Moyen, Groupe d'Analyse et de Théorie Economique Lyon - Saint-Etienne (GATE Lyon Saint-Étienne), École normale supérieure de Lyon (ENS de Lyon)-Université Lumière - Lyon 2 (UL2)-Université Claude Bernard Lyon 1 (UCBL), Université de Lyon-Université de Lyon-Université Jean Monnet - Saint-Étienne (UJM)-Centre National de la Recherche Scientifique (CNRS), Deutsche Bundesbank, Dao, Taï, Groupe d'analyse et de théorie économique (GATE Lyon Saint-Étienne), École normale supérieure - Lyon (ENS Lyon)-Université Lumière - Lyon 2 (UL2)-Université Claude Bernard Lyon 1 (UCBL), and Université de Lyon-Université de Lyon-Université Jean Monnet [Saint-Étienne] (UJM)-Centre National de la Recherche Scientifique (CNRS)

Subjects
Government spending, Mathematical optimization, History, 050208 finance, accuracy, Polymers and Plastics, Computer science, 05 social sciences, JEL: E - Macroeconomics and Monetary Economics/E.E3 - Prices, Business Fluctuations, and Cycles, Regime switching, Classification of discontinuities, simulation, [SHS.ECO]Humanities and Social Sciences/Economics and Finance, RBC model, Projection (linear algebra), Industrial and Manufacturing Engineering, JEL: J - Labor and Demographic Economics/J.J6 - Mobility, Unemployment, Vacancies, and Immigrant Workers, 0502 economics and business, Dynamic stochastic general equilibrium, Regime-switching, 050207 economics, Business and International Management, [SHS.ECO] Humanities and Social Sciences/Economics and Finance, Representation (mathematics)
Abstract

This paper provides a general representation of endogenous and threshold-based regime switching models and develops an efficient numerical solution method. The regime-switching is triggered endogenously when some variables cross threshold conditions that can themselves be regime-dependent. We illustrate our approach using a RBC model with state-dependent government spending policies. It is shown that regime-switching models involve strong non linearities and discontinuities in the dynamics of the model. However, our numerical solution based on simulation and projection methods with regime-dependent policy rules is accurate, and fast enough, to efficiently take into all these challenging aspects. Several alternative specifications to the model and the method are studied.

Published
2022
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2. Real Estate and Rental Markets During COVID Times

Author

Hippolyte d'Albis, Bertrand Achou, Eleni Iliopulos, HEC Montréal (HEC Montréal), Paris School of Economics (PSE), École des Ponts ParisTech (ENPC)-École normale supérieure - Paris (ENS Paris), Université Paris sciences et lettres (PSL)-Université Paris sciences et lettres (PSL)-Université Paris 1 Panthéon-Sorbonne (UP1)-Centre National de la Recherche Scientifique (CNRS)-École des hautes études en sciences sociales (EHESS)-Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement (INRAE), Paris Jourdan Sciences Economiques (PJSE), Université Paris 1 Panthéon-Sorbonne (UP1)-École normale supérieure - Paris (ENS Paris), Université Paris sciences et lettres (PSL)-Université Paris sciences et lettres (PSL)-École des hautes études en sciences sociales (EHESS)-École des Ponts ParisTech (ENPC)-Centre National de la Recherche Scientifique (CNRS)-Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement (INRAE), Centre d'Etudes des Politiques Economiques (EPEE), Université d'Évry-Val-d'Essonne (UEVE)-Université Paris-Saclay, and Université Paris 1 Panthéon-Sorbonne (UP1)-École normale supérieure - Paris (ENS-PSL)

Subjects
General equilibrium theory, media_common.quotation_subject, JEL: E - Macroeconomics and Monetary Economics/E.E3 - Prices, Business Fluctuations, and Cycles, Real estate, Monetary economics, Renting, 0502 economics and business, Economics, JEL: I - Health, Education, and Welfare/I.I3 - Welfare, Well-Being, and Poverty, JEL: G - Financial Economics/G.G1 - General Financial Markets, 050207 economics, Rental Markets, media_common, 050208 finance, business.industry, 05 social sciences, Economic rent, 1. No poverty, [SHS.ECO]Humanities and Social Sciences/Economics and Finance, Collateral Constraints, Interest rate, Work (electrical), JEL: C - Mathematical and Quantitative Methods/C.C1 - Econometric and Statistical Methods and Methodology: General, 8. Economic growth, Housing, Financial Frictions, HANK Models, business, Welfare
Abstract

In this work we introduce a general equilibrium model with landlords, indebted owner-occupiers and renters to study housing markets' dynamics. We estimate it by using standard Bayesian methods and match the US data of the last decades. This framework is particularly suited to explain current trends on housing markets. We highlight the crucial relationship between interest rates, house prices and rents, and argue that it helps understanding the main driving forces. Our analysis suggests that current developments on housing markets can play a role for a recovery from the Covid pandemic as they have an expansionary effect on aggregate output. Moreover, we account for the heterogeneous impact of crisis-induced policies depending on agents' status on the housing market. We show how, despite an increase in housing prices, the welfare of landlords has been negatively hit. This is associated to the joint decrease in returns on housing and financial assets that reduces their financial incomes.

Published
2021
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