American Economic Review
ISSN 0002-8282 (Print) | ISSN 1944-7981 (Online)
Getting at Systemic Risk via an Agent-Based Model of the Housing Market
American Economic Review
vol. 102,
no. 3, May 2012
(pp. 53–58)
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.Citation
Geanakoplos, John, Robert Axtell, J. Doyne Farmer, Peter Howitt, Benjamin Conlee, Jonathan Goldstein, Matthew Hendrey, Nathan M. Palmer, and Chun-Yi Yang. 2012. "Getting at Systemic Risk via an Agent-Based Model of the Housing Market." American Economic Review, 102 (3): 53–58. DOI: 10.1257/aer.102.3.53JEL Classification
- D81 Criteria for Decision-Making under Risk and Uncertainty
- R31 Housing Supply and Markets
- C63 Computational Techniques; Simulation Modeling
- E32 Business Fluctuations; Cycles
- E44 Financial Markets and the Macroeconomy
- G01 Financial Crises